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Cyclical systemic risk and downside risks to bank profitability

Lang, Jan Hannes; Forletta, Marco - 2020

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

Persistent link: https://www.econbiz.de/10012216407

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...

Persistent link: https://www.econbiz.de/10012219367

The impact of institution factors on commercial banks' risk in China

Zhou, Peng - In: Inventi impact: microfinance & banking (2018) 4, pp. 206-222

Persistent link: https://www.econbiz.de/10012242293

The concentration of the banking industry and its exposure to financial contagion

Eboli, Mario - In: International journal of economics and finance 11 (2019) 4, pp. 95-103

Persistent link: https://www.econbiz.de/10012008778

Too big to fail : measures, remedies, and consequences for efficiency and stability

Barth, James R.; Wihlborg, Clas - In: Financial markets, institutions & instruments 26 (2017) 4, pp. 175-245

Persistent link: https://www.econbiz.de/10011771611

Measuring the systemic risk in the South African banking sector

Foggitt, Gregory M.; Heymans, Andre; Van Vuuren, Gary; … - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011778245

Market perception of bank risk and securitization in Spain

Iglesias Casal, Ana; López Penabad, María Celia; … - In: Journal of business economics and management 17 (2016) 1, pp. 92-108

Persistent link: https://www.econbiz.de/10011516815

Some simple analytics of the taxation of banks as corporations : effects on loans and systemic risk, deposits, and borrowing

Goodspeed, Timothy J. - In: National tax journal 70 (2017) 3, pp. 643-671

Persistent link: https://www.econbiz.de/10011833235

Measuring the capital shortfall of large U.S. banks

Jondeau, Eric; Khalilzadeh, Amir - 2018

We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...

Persistent link: https://www.econbiz.de/10011877252

Measuring the systemic risk of regional banks in Japan with PLS-SEM

Avkiran, Necmi K. - In: Theoretical economics letters 8 (2018) 11, pp. 2024-2037

Persistent link: https://www.econbiz.de/10011911227