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Analyzing Systemic Risk in the Chinese Banking System

Huang, Qiubin - 2015

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the … China. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system … that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES …

Persistent link: https://www.econbiz.de/10013013708

Analyzing Systemic Risk in the Chinese Banking System

Huang, Qiubin; de Haan, Jakob; Scholtens, Bert - 2015

Persistent link: https://www.econbiz.de/10011388192

Credit contagion between financial systems

Podlich, Natalia; Wedow, Michael - 2011

We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...

Persistent link: https://www.econbiz.de/10009529228

Blessing in Disguise : Policy Uncertainty and Bank Systemic Risk in China

Lan, Keyi; Ma, Sichao; Peng, Yuchao; Wang, Fanzhi - 2021

the sample of 16 listed banks from 2011 to 2020 in China, we find that economic policy uncertainty has a significantly …

Persistent link: https://www.econbiz.de/10013314435

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10011906282

European Banking Union structures and dynamics

Fernández Fernández, José Alejandro - In: Cogent economics & finance 11 (2023) 2, pp. 1-30

This article begins with an analysis of banking flows in the euro zone, through a complex network, from 2006 to 2020. This analysis allows us to observe the topology of the network through different phases of the business cycle. It is obtained that there is greater fragmentation in the network...

Persistent link: https://www.econbiz.de/10014502810

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

Do firm-level factors play forward-looking role for financial systemic risk : evidence from China

Li, Xindan; Yu, Honghai; Fang, Libing; Xiong, Cheng - In: Pacific-Basin finance journal 57 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012170583

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012697108

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