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Insurance contracts and derivatives that substitute for them : how and where should their systemic and nonperformance risks be regulated?

Kane, Edward J. - In: Advances in Pacific Basin business, economics, and finance 5 (2017), pp. 1-17

Persistent link: https://www.econbiz.de/10012520687

Measuring counterparty risk in FMIs

Laine, Tatu; Korpinen, Kasperi - 2021

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only …-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our …

Persistent link: https://www.econbiz.de/10012703114

Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Persistent link: https://www.econbiz.de/10012622472