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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodríguez-Moreno, María; Mayordomo, Sergio; Peña, … - School of Economics and Business Administration, … - 2012
This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual …, outperforms the others. Using this measure we find that the banks’ holdings of foreign exchange and credit derivatives increase … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …
Persistent link: https://www.econbiz.de/10010599196
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....
Persistent link: https://www.econbiz.de/10011439967
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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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
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Efficient Markets and the Law: A Predictable Past and an Uncertain Future
Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...
Persistent link: https://www.econbiz.de/10010603964
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized...
Persistent link: https://www.econbiz.de/10011754962
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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodriguez-Moreno, Maria - 2013
This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual …, outperforms the others. Using this measure we find that the banks' holdings of foreign exchange and credit derivatives increase … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …
Persistent link: https://www.econbiz.de/10013091940
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Systemic Risk Measures and Their Viability for Banking Supervision
Döring, Benjamin - 2016
We propose a criteria-based framework to assess the viability of systemic risk measures (SRMs) as a monitoring tool for banking supervision and investigate the determinants of the banking system's overall level of systemic risk. Comparing three prominent SRMs we find that all of them possess...
Persistent link: https://www.econbiz.de/10013006220
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Systemic risk measures: The simpler the better?
Rodríguez-Moreno, María; Peña, Juan Ignacio - In: Journal of Banking & Finance 37 (2013) 6, pp. 1817-1831
US interbank rates, stock prices and credit derivatives data from 2004 to 2009. Measures belonging to the macro group …
Persistent link: https://www.econbiz.de/10011065706
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Systemic risk in an interconnected banking system with endogenous asset markets
Bluhm, Marcel; Krahnen, Jan Pieter - 2014
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential...
Persistent link: https://www.econbiz.de/10010335958