Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in … derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies … suggest that central clearing always reduces counterparty risk for a sufficiently large number of clearing members. We show …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as … complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …