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Measuring Macroprudential Risk : Financial Fragility Indexes
Tymoigne, Eric - 2011
With the Great Recession and the regulatory reform that followed, the search for reliable means to capture systemic risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been institutionalized through the Financial Stability Oversight...
Persistent link: https://www.econbiz.de/10013128524
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Systemic risk and sentiment : chapter contribution to handbook on systemic risk ; [edited by Jean-Pierre Fouque and Joe Langsam]
Barone-Adesi, Giovanni; Mancini, Loriano; Shefrin, Hersh - 2011
Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...
Persistent link: https://www.econbiz.de/10009375111
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SinkRank : an algorithm for identifying systemically important banks in payment systems
Soramäki, Kimmo; Cook, Samantha - 2013
The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very … of a bank in a payment system and identifies banks most affected by the failure. SinkRank is based on absorbing Markov … chains, which are well-suited to model liquidity dynamics in payment systems. Because actual bank failures are rare and the …
Persistent link: https://www.econbiz.de/10009759774
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Robustness and informativeness of systemic risk measures
Löffler, Gunter; Raupach, Peter - 2013
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...
Persistent link: https://www.econbiz.de/10009720895
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Measuring macroprudential risk
Tymoigne, Éric - 2011
With the Great Recession and the regulatory reform that followed, the search for reliable means to capture systemic risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been institutionalized through the Financial Stability Oversight...
Persistent link: https://www.econbiz.de/10008906569
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A Comprehensive Approach to Measuring the Relation Between Systemic Risk Exposure and Sovereign Debt
Pagano, Michael S. - 2019
Using an integrated model to control for simultaneity, as well as new risk measurement techniques such as Adapted …
Persistent link: https://www.econbiz.de/10012905276
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Systemic Risks and Macroprudential Bank Regulation : A Critical Appraisal
VanHoose, David D. - 2011
This paper discusses and critically appraises recent developments in the definition, measurement, and regulation of … only recently have a variety of institution-level systemic-risk measurement techniques been proposed. Thus, regulators …
Persistent link: https://www.econbiz.de/10013126517
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Robustness and Informativeness of Systemic Risk Measures
Löffler, Gunter - 2016
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...
Persistent link: https://www.econbiz.de/10012988798
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Back to the Future : Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression
Brownlees, Christian - 2018
the era before FDIC insurance. Bank stock price and balance sheet data were not readily available for this time period. We …
Persistent link: https://www.econbiz.de/10012933762
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Robustness and Informativeness of Systemic Risk Measures
Löffler, Gunter - 2017
Please note that this paper has been replaced by "Pitfalls in the Use of Systemic Risk Measures," available via 'http://ssrn.com/abstract=2593257' http://ssrn.com/abstract=2593257.Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on...
Persistent link: https://www.econbiz.de/10012974418