Narrow search
Showing 1 - 10 of 52,063
Cover Image
Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14
This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...
Persistent link: https://www.econbiz.de/10011042127
Cover Image
Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011272804
Cover Image
Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011506748
Cover Image
Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011590621
Cover Image
Measuring and Testing for the Systemically Important Financial Institutions
Castro, Carlos - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10013099433
Cover Image
The nexus between systemic risk and sovereign crises
Klinger, Tomáš; Teplý, Petr - In: Finance a úvěr 66 (2016) 1, pp. 50-69
Persistent link: https://www.econbiz.de/10011454351
Cover Image
A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012
Persistent link: https://www.econbiz.de/10009619091
Cover Image
The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10009012483
Cover Image
A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
Cover Image
Default cascades: When does risk diversification increase stability?
Battiston, Stefano; Gatti, Domenico Delli; Gallegati, Mauro - In: Journal of Financial Stability 8 (2012) 3, pp. 138-149
We explore the dynamics of default cascades in a network of credit interlink-ages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture...
Persistent link: https://www.econbiz.de/10010599315