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Network-Based Modeling and Analysis of Systemic Risks in Banking Systems
Hu, Daning - 2012
research method integrates business intelligence (BI) and simulation techniques, leading to three main research contributions … in this paper. First, by observing techniques such as the HITS algorithm used in estimating relative importance of web …, based on the CRINP principle, we develop a novel risk estimation algorithm for understanding relative financial risks in a …
Persistent link: https://www.econbiz.de/10013115543
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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United States : financial system stability assessment : technical note : systemic risk oversight and systemic liquidity
Internationaler Währungsfonds - 2020
The heterogeneity of the United States (U.S.) financial markets and complex regulatory and supervisory institutional setup in the United States underscore the importance of enhancing systemic risk oversight and building effective macroprudential tools. An effective framework would encompass...
Persistent link: https://www.econbiz.de/10012266900
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Systemic bank risk in Brazil : an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations
Barnhill, Theodore M. (contributor);  … - 2008
In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for …
Persistent link: https://www.econbiz.de/10003721590
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The impact of systemic risk on the diversification benefits of a risk portfolio
Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...
Persistent link: https://www.econbiz.de/10010399713
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Quantification of systemic risk from overlapping portfolios in the financial system
Poledna, Sebastian; Martínez-Jaramillo, Serafín; … - In: Journal of financial stability 52 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012745454
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QE : implications for bank risk-taking, profitability, and systemic risk
Velic, Adnan; Kapoor, Supriya - 2022
Persistent link: https://www.econbiz.de/10012888092
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Systemic risk and financial regulations : a theoretical perspective
Prasch, Robert E.; Warin, Thierry - In: Open economies review 17 (2016) 3, pp. 188-199
Persistent link: https://www.econbiz.de/10011718557
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Editorial: risk landscape 10 years on : the end of systemic risk or a new beginning?
Wilson, Thomas Charles - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 108-114
Persistent link: https://www.econbiz.de/10012065273
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203