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Measuring Systemic Risk Potential Across Banks in Asia

Mensah, Jones Odei - 2016

The unusual severity of the recent global financial crisis has drawn much attention to systemic risk, particularly its measurement, and the institutions that contribute most to it. This paper provides an empirical examination of the systemic risk potential among banking institutions in Asia...

Persistent link: https://www.econbiz.de/10013005020

What's the Contingency? A Proposal for Bank Contingent Capital Triggered by Systemic Risk

Allen, Linda - 2016

, measured using CATFIN, and (2) the individual bank's contribution to overall systemic risk, measured using delta CoVaR. The …

Persistent link: https://www.econbiz.de/10013005755

Playing it Safe : Global Systemically Important Banks after the Crisis

Goel, Tirupam - 2019

Post-crisis reforms aim to mitigate the systemic risks that arise from global systemically important banks (G-SIBs). Based on our estimates of G-SIBs' probability of distress, we find that their resilience has improved in recent years on the back of higher capital ratios. Furthermore, by...

Persistent link: https://www.econbiz.de/10012861338

What's the Contingency? A Proposal for Bank Contingent Capital Triggered by Systemic Risk

Allen, Linda - 2014

banking system, measured using CATFIN, and (2) individual bank contribution to overall risk in the banking system, measured …) and the impact of individual bank distress on system stability (ΔCoVaR) …

Persistent link: https://www.econbiz.de/10013052159

Banks' Size, Scope and Systemic Risk : What Role for Conflicts of Interest?

De Jonghe, Olivier - 2014

We show that the effect of diversification on systemic risk exposures varies with bank size and a country …

Persistent link: https://www.econbiz.de/10013058912

Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models

Yun, Jaeho - 2015

across banks. Second, we find that systemic risk contributions are closely related to certain bank characteristic variables …

Persistent link: https://www.econbiz.de/10013026041

Debt-Driven Recession and Systemic Risks in the Korean Banking Sector

Choi, Gongpil - 2014

banking sector, and trigger a capital crunch, especially in the most vulnerable sectors of the economy. Concentrated bank …

Persistent link: https://www.econbiz.de/10013044158

Systemic Risk and Bank Business Models

van Oordt, Maarten R.C. - 2014

In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage … between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial … bank characteristics are related to bank tail risk and systemic linkage. The interrelationship between bank characteristics …

Persistent link: https://www.econbiz.de/10013045729

Systemic Risk in the Chinese Banking Sector

Nivorozhkin, Eugene; Chondrogiannis, Ilias - 2021

We examine the evolution and factors of systemic risk in the Chinese banking sector over the last decade from the perspective of international investors. We apply the SRISK measure of systemic risk to a representative sample of listed Chinese institutions that captures 50-60% of total banking...

Persistent link: https://www.econbiz.de/10013249777

Systemic Risk and the COVID Challenge in the European Banking Sector

Borri, Nicola; Di Giorgio, Giorgio - 2021

This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a...

Persistent link: https://www.econbiz.de/10013250405