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Systemic risk and idiosyncratic networks among global systemically important banks
Cui, Xue; Yang, Lu - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 58-75
Persistent link: https://www.econbiz.de/10014468986
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Financial network connectedness and systemic risk during the COVID-19 pandemic
So, Mike Ka-pui; Chan, Lupe S. H.; Chu, Amanda M. Y. - In: Asia Pacific financial markets 28 (2021) 4, pp. 649-665
Persistent link: https://www.econbiz.de/10012697550
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Systemic risk in the US : interconnectedness as a circuit breaker
Dungey, Mardi H.; Luciani, Matteo; Veredas, David - In: Economic modelling 71 (2018), pp. 305-315
Persistent link: https://www.econbiz.de/10012062528
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A macroprudential contagion stress test framework
Bjørland, Christian; Kockerols, Thore - 2020
We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to valuation losses for banks (indirect contagion), and how...
Persistent link: https://www.econbiz.de/10012240728
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by … exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility …
Persistent link: https://www.econbiz.de/10012499703
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
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Vulnerable banks
Greenwood, Robin; Landier, Augustin; Thesmar, David - In: Journal of financial economics 115 (2015) 3, pp. 471-485
Persistent link: https://www.econbiz.de/10011347454
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What makes systemic risk systemic? : contagion and spillovers in the international sovereign debt market
Kalotychou, Elena; Remolona, Eli M.; Wu, Eliza - 2014
Persistent link: https://www.econbiz.de/10010355121
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Transmission channels of systemic risk : a system wide perspective
Podlich, Natalia - 2016
Persistent link: https://www.econbiz.de/10011551891