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(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Glaser, Florian; Panz, Sven - 2016

Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed … not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be … potential effects of procyclicality in distressed periods. Based on a unique data set provided by a large European Central …

Persistent link: https://www.econbiz.de/10011975294

Contextualizing systemic risk

Scheffknecht, Lukas - 2013

I analyze the rapidly growing literature about systemic risk in financial markets and find an important commonality. Systemic risk is regarded to be an endogenous outcome of interactions by rational agents on imperfect markets. Market imperfections give rise to systemic externalities which cause...

Persistent link: https://www.econbiz.de/10010255108

Too interconnected to fail : a survey of the interbank networks literature

Hüser, Anne-Caroline - 2015 - First version: December 2014, This version: March 2015

The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks. We assess our current understanding of the structure...

Persistent link: https://www.econbiz.de/10010491738

Too interconnected to fail : a survey of the Interbank Networks literature

Hüser, Anne-Caroline - 2016

The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks and assesses our current understanding of the structure...

Persistent link: https://www.econbiz.de/10012061680

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

Too interconnected to fail: A survey of the Interbank Networks literature

Hüser, Anne-Caroline - 2016

The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks and assesses our current understanding of the structure...

Persistent link: https://www.econbiz.de/10012064283

Contextualizing systemic risk

Scheffknecht, Lukas - 2013

Persistent link: https://www.econbiz.de/10010369508

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10013128337

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

Persistent link: https://www.econbiz.de/10013131934

Systemic Risk and the Great Depression

Das, Sanjiv Ranjan - 2019

We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank as well as a bank’s position in the network. We...

Persistent link: https://www.econbiz.de/10012892160

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