Search Results - subject:"” systemic risk"

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

Life insurance convexity

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2021

Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we estimate that a 1 percentage point increase in...

Persistent link: https://www.econbiz.de/10012671837

On the interaction between monetary and macroprudential policies

Martin, Alberto; Mendicino, Caterina; Van der Ghote, … - 2021

The Global Financial Crisis fostered the design and adoption of macroprudential policies throughout the world. This raises important questions for monetary policy. What, if any, is the relationship between monetary and macroprudential policies? In particular, how does the effectiveness of...

Persistent link: https://www.econbiz.de/10012431776

Impact of EU-wide insurance stress tests on equity prices and systemic risk

Jakubik, Petr; Teleu, Saida - 2021

test scenario of the 2018 exercise contributed to the decline in systemic risk. To our best knowledge, this is the first …

Persistent link: https://www.econbiz.de/10012595281

Common mutual fund ownership and systemic risk

Iselin, Michael; Liao, Scott; Zhang, Haiwen - 2021

systemic risk of the banking system. We first document that the extent of a bank’s connection with other banks via common … ownership increases its contribution to systemic risk. We further find that this association is primarily driven by passive … mutual funds. We provide evidence that common passive ownership results in higher systemic risk through two mechanisms: non …

Persistent link: https://www.econbiz.de/10012595430

Effect of the macroeconomic variables on systemic risk : evidence from Vietnamese economy

Tram Thi Xuan Huong; Nguyen Thi Thanh Hoai - In: Economics and Business Letters : EBL 10 (2021) 3, pp. 217-228

Persistent link: https://www.econbiz.de/10012595781

A sentiment-based risk indicator for the Mexican financial sector

Fernandez, Raul; Palma Guizar, Brenda; Rho, Caterina - In: Latin American journal of central banking : LAJCB 2 (2021) 3, pp. 1-27

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the Mexican financial sector, relative to merely...

Persistent link: https://www.econbiz.de/10012659015

Measuring systemic risk of china's listed banks

Zhang, Ping; Wang, Yiru; Zhao, Min; Yang, Tzu-Yi - In: Financial studies 25 (2021) 3, pp. 6-29

After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China …'s financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in … 2010 to 2018. The quantile regression method and the GARCH model were applied to measure the systemic risk of banks in …

Persistent link: https://www.econbiz.de/10012664694

The long-term effects of capital requirements

De Nicolò, Gianni; Klimenko, Nataliya; Pfeil, Sebastian; … - 2021

We build a stylized dynamic general equilibrium model with financial frictions to analyze costs and benefits of capital requirements in the short-term and long-term. We show that since increasing capital requirements limits the aggregate loan supply, the equilibrium loan rate spread increases,...

Persistent link: https://www.econbiz.de/10012534512

Stress testing and systemic risk measures using elliptical conditional multivariate probabilities

Aste, Tomaso - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-17

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

Persistent link: https://www.econbiz.de/10012534607