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Systemic risk contributions : a credit portfolio approach

Düllmann, Klaus; Puzanova, Natalia - 2011

We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...

Persistent link: https://www.econbiz.de/10009011220

Measuring dynamic connectedness with large Bayesian VAR models

Korobilis, Dimitris; Yılmaz, Kamil - 2018

volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of … Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points …

Persistent link: https://www.econbiz.de/10011778195

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Geraci, Marco Valerio - 2018

We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the...

Persistent link: https://www.econbiz.de/10012936644

Bank volatility connectedness in South East Asia

Yılmaz, Kamil - 2018

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …

Persistent link: https://www.econbiz.de/10012060209

Trans-Atlantic equity volatility connectedness : U.S. and European financial institutions, 2004-2014

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 81-127

Persistent link: https://www.econbiz.de/10011588540

How connected is the global sovereign credit risk network?

Bostancı, Görkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the … network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately … the key generators of connectedness of sovereign credit risk shocks while severely problematic countries as well as …

Persistent link: https://www.econbiz.de/10011440137

The role of systemic risk spillovers in the transmission of Euro area monetary policy

Skouralis, Alexandros - 2021

This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The...

Persistent link: https://www.econbiz.de/10012704731

A risk management perspective on macroprudential policy

Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021

Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...

Persistent link: https://www.econbiz.de/10012519434

Dynamic CoVaR

Pinheiro, Jorge; C. Herculano, Miguel - 2021

Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...

Persistent link: https://www.econbiz.de/10013211507

Measuring the Systemic Importance of Banks

Moratis, George - 2020

CDS movements. We apply this to all banks that issue publicly traded CDS contracts among the world's biggest 150 and …

Persistent link: https://www.econbiz.de/10012830827