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Financial Network Systemic Risk Contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10011277260
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomas A.; … - Center for Financial Studies - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010958802
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TENET: Tail-Event driven NETwork risk
Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10011075765
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Center for Financial Studies - 2013
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information,...
Persistent link: https://www.econbiz.de/10010958644
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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and...
Persistent link: https://www.econbiz.de/10011277290
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010985133
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013
total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri …
Persistent link: https://www.econbiz.de/10010957120
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012
. First, Bank of America, JP Morgan and Wells Fargo are consistently in the top 10 throughout the sample. Citigroup and Lehman …
Persistent link: https://www.econbiz.de/10011255476
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - Crawford School of Public Policy, Australian National … - 2012
. First, Bank of America, JP Morgan and Wells Fargo are consistently in the top 10 throughout the sample. Citigroup and Lehman …
Persistent link: https://www.econbiz.de/10011201601
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Financing as a Supply Chain: The Capital Structure of Banks and Borrowers
Gornall, William; Strebulaev, Ilya A. - National Bureau of Economic Research (NBER) - 2013
We develop a model of the joint capital structure decisions of banks and their borrowers. Strikingly high bank leverage … emerges naturally from the interplay between two sets of forces. First, seniority and diversification reduce bank asset … underlie our structural model, we can quantify the impact capital regulation and other government interventions have on bank …
Persistent link: https://www.econbiz.de/10010711816