One of the most important issues in the regulatory reform debate is that of systemically important financial institutions. This paper proposes a framework for identifying and supervising such institutions; the framework is designed to remove the advantages they derive from becoming systemically...

Using a unique and comprehensive dataset, this paper develops and uses three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around 6 global financial crises (such...

This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second round settlement failures triggered by the...

Purpose – This paper aims to explore how banks have modified their behaviours since the subprime crisis and their influence on credit access for SMEs. Design/methodology/approach – This paper aims to explore how banks have modified their behaviours since the subprime crisis and their...

Purpose – The purpose of this paper is to provide market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method which banks currently apply in line with the Basel regulatory requirements, the author also propose including...

Purpose The purpose of this paper is to propose reforms that would establish a credible framework of rules to constrain and guide emergency lending by the Federal Reserve and by fiscal authorities during a future financial crisis. Design/methodology/approach The authors propose a set of five...

Purpose The purpose of this paper is to present a framework for the assessment of the fundamental value of house prices in the largest Ukrainian cities, as well as to identify the thresholds, the breach of which would signal a bubble. Design/methodology/approach House price bubbles are detected...

Purpose The purpose of this paper is to measure the systemic importance of industry in the world economic system under the system-wide event – the crisis of 2008-2009, by viewing this system as a weighted directed network of interconnected industries. Design/methodology/approach First, the...

Purpose This paper aims to shed light on the risk structure in the presence of Islamic banking. The author concentrates on the relationship between Islamic banking and conventional banking in Turkey. Islamic banking and conventional banking are considered to be different kinds of sources for...