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Systemic risk and bank characteristics relationship in India : Post-GFC scenario

Pati, Ambika Prasad - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 551-564

Persistent link: https://www.econbiz.de/10013472763

Blessing in disguise : policy uncertainty and bank systemic risk

Lan, Keyi; Ma, Sichao; Peng, Yuchao; Wang, Fanzhi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4271-4285

Persistent link: https://www.econbiz.de/10013463003

Quantifying systemic risk in the presence of unlisted banks : application to the European banking sector

Dimitrov, Daniel; Wijnbergen, Sweder van - 2023

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

Persistent link: https://www.econbiz.de/10014280065

Modelling systemic risk in Morocco's banking system

Kyoud, Ayoub; El Msiyah, Cherif; Madkour, Jaouad - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-16

The Moroccan banking system suffered a significant impact due to the extreme market conditions caused by the COVID-19 outbreak, which led to an increase in non-performance loans. This, in turn, reduced the value of banks' assets and their ability to meet their obligations, implicitly raising...

Persistent link: https://www.econbiz.de/10014285321

Measuring the link between cyclical systemic risk and capital adequacy for Ukrainian banking sector

Shmygel, Alona - 2023

In this paper we investigate the impact of cyclical systemic risk on future bank profitability for a large … on linear local projections which allows us to study the estimated negative impact of cyclical systemic risk on bank … assess the impact of cyclical systemic risk on the tails of the future bank-level profitability distribution. Additionally …

Persistent link: https://www.econbiz.de/10014368443

Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models

Cai, Chunlin - In: The journal of risk model validation 17 (2023) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10014485590

Cyclical systemic risk and banks' vulnerability

Shmygel, Alona; Ongena, Steven - 2024

Persistent link: https://www.econbiz.de/10014485761

Banking competition and systemic risk : evidence from China

Guo, Jiawei; Chai, Jiwen - In: Journal of risk : JOR 26 (2024) 3, pp. 75-111

Persistent link: https://www.econbiz.de/10014487326

Systemic risk in banking, fire sales, and macroeconomic disasters

Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024

market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …

Persistent link: https://www.econbiz.de/10014490902

Systemic risk and idiosyncratic networks among global systemically important banks

Cui, Xue; Yang, Lu - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 58-75

Persistent link: https://www.econbiz.de/10014468986