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Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Persistent link: https://www.econbiz.de/10012622472

Multifactor risk attribution applied to systemic, climate and geopolitical tail risks for the Eurozone banking sector

Bettin, Giulia; Mensi, Gian Marco; Recchioni, Maria Cristina - In: Risks : open access journal 11 (2023) 10, pp. 1-26

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

Persistent link: https://www.econbiz.de/10014391739

Stress testing the resilience of financial networks

Amini, Hamed; Cont, Rama; Minca, Andreea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10009562144

The marginal cost of risk, risk measures, and capital allocation

Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457

Persistent link: https://www.econbiz.de/10011487544

Exploring the systemic risk of domestic banks with ΔCoVaR and elastic-net

Bianchi, Michele Leonardo; Sorrentino, Alberto Maria - In: Journal of financial services research 62 (2022) 1/2, pp. 127-141

Persistent link: https://www.econbiz.de/10013443858

A theory for measures of tail risk

Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128

Persistent link: https://www.econbiz.de/10012625694

Banks' systemic risk in the Tunisian context : measures and determinants

Khiari, Wided; Nachnouchi, Jamila - In: Research in international business and finance 45 (2018), pp. 620-631

Persistent link: https://www.econbiz.de/10011983451

Measuring systemic risk : a comparison of alternative market-based approaches

Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011807485

Systemic risk: an overview

Zeldea, Cristina Georgiana - In: Financial studies 23 (2019) 3, pp. 35-48

systemic risk approaches, from definition to a selection of measurement instruments.Valuable steps have been made towards … producing comprehensive models. However,systemic risk measurement and mitigation remain open issues. …In hindsight of the 2008 crisis, the conspicuous underestimation of systemic risk has turned into a strong incentive …

Persistent link: https://www.econbiz.de/10012146184

Volatility connectedness of bank stocks across the Atlantic

Yılmaz, Kamil - 2014

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and the EU member countries. The results show that in the early stages of the US financial crisis in 2007 and 2008, the direction of the volatility connectedness was from the US...

Persistent link: https://www.econbiz.de/10010239322