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Marginal Leverage Ratio as a Monitoring Tool of Systemic Risk

Villar Burke, Javier - 2015

This paper discusses the concept of leverage, its components and how to measure and monitor it. It proposes an innovative approach to assessing leverage based on flows using the concept of a marginal leverage ratio, which reveals the leverage related to new activities, as a valuable supplement...

Persistent link: https://www.econbiz.de/10013022881

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

Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence

Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19

dependencies within the system using tail dependence coefficients. Empirical results identify Attijariwafa Bank and Banque Centrale …

Persistent link: https://www.econbiz.de/10014505870

Defaulting Firms and Systemic Risks in Financial Networks

Houy, Nicolas - 2016

In this paper, we use the axioms introduced in Eisenberg and Noe (2001) and Rogers and Veraart (2013) and study their consequences in terms of optimal sets of defaulting firms. We show that, from this point of view, the Absolute Priority axiom is not independent. We also show that the optimal...

Persistent link: https://www.econbiz.de/10012999668

Contingent Convertibles : Can the Market Handle Them?

Kiewiet, Gera - 2017

just a single bank can result in the decline of an entire market, with investors apparently unable to distinguish safe from …

Persistent link: https://www.econbiz.de/10012946393

Economic Volatility, Banks’ Risk Accumulation and Systemic Risk

He, Wenjia; He, Wenjing; Xu, Dandan; Yue, Pengpeng - 2023

Preventing systemic risk from the perspective of bank risk accumulation has been widely researched and supported. This … study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non …-core liabilities as the bank's risk accumulation index, we show that low economic volatility increases bank risk accumulation but …

Persistent link: https://www.econbiz.de/10014355289

A false sense of security : why U.S. banks diversify and does it help?

Gandhi, Priyank; Kiefer, Patrick Christian; Plazzi, Alberto - 2016

contributes to the current debate on the optimal scope of bank activities, and highlights novel channels through which …

Persistent link: https://www.econbiz.de/10011518813

Systemic Risk Across Sectors : Are Banks Different?

Muns, Sander - 2011

We compare systemic risk in the banking sector, the insurance sector, the construction sector, and the food sector. To measure systemic risk, we use extreme negative returns in stock return data for the twenty largest U.S. Firms in each sector. We find that systemic risk is significantly larger...

Persistent link: https://www.econbiz.de/10013125988

Tail Risks and Systemic Risks for U.S. and Eurozone Financial Institutions in the Wake of the Global Financial Crisis

Straetmans, Stefan - 2012

This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and … banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood … to global shocks ( extreme systematic risk). Moreover, the estimators presuppose that bank equity prices are heavy tailed …

Persistent link: https://www.econbiz.de/10013101500

Tail Dependence in the US Banking Sector and Measures of Systemic Risk

Balla, Eliana - 2012

study, we investigate the extremal dependence among stock prices of US bank holding companies. We find they exhibit strong …

Persistent link: https://www.econbiz.de/10013107561