The European financial market has an high degree of interconnectedness among hedge funds, banks, brokers and insurance companies, that can be used as an indicator to predict an emerging systemic crisis and its intensity.The relations are cross-country as well as cross-industry, with a primary...

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. We provide evidence of the prominent role played by insurances in the...

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over...

A common theme in the regulation of financial institutions and transactions is leverage constraints. Although such constraints are implemented in various ways — from minimum net capital rules to margin requirements to credit limits — the basic motivation is the same: to limit the potential...

The behavior of managers in initiating a derivatives market position brings to the surface an interesting phenomenon: sometimes managers initiate a position in derivatives markets (i.e., futures and options markets) and sometimes they do not, even though the price volatility of the underlying...

Loosely speaking, "systemic risk" refers to a financial system shock that is large enough to have severe negative consequences for the real economy. Following the financial crisis of 2008-2009, a large literature has emerged that attempts to quantify and measure systemic risk. In this paper we...

Korean Abstract: 본 연구는 우리나라 금융기관간, 금융산업과 비금융산업간 상호연계성을 분석함으로써 시스테믹 리스크(systemic risk)를 측정하였다. 네트워크 분석결과 금융기관간 상호연계성은 외환위기, 글로벌 금융위기 및...

We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. We motivate these measures from the supervisory, research, and data perspectives in the main text, and...