Search Results - subject:"” systemic risk"

Credit Suisse's Crisis Impact on Global Banks : A Network Connectedness Approach

Kraus, Florian; Some, Joseph - 2023

The Credit Suisse crisis in 2023 generated important variations in the stock market, and a lot of discussions about the potential contagion effects with other systemic banks. We use the Extended Joint Connectedness measure based on Diebold and Yilmaz (2008, 2012) approach to study this effect....

Persistent link: https://www.econbiz.de/10014354616

Systemic Financial Risk of Stock Market Based on Multiscale Networks

Xiang, Youtao; Borjigin, Sumuya - 2023

This paper investigated the multiscale features of risk spillover networks among financial institutions in stock market at various time-frequency horizons. We propose multiscale risk spillover networks by combining MEMD and generalized vector autoregressive methods. Using daily returns of 36...

Persistent link: https://www.econbiz.de/10014354889

Measuring and Testing Systemic Risk from the Cross Section of Stock Returns

Gil-Jaime, Jesus; Olmo, Jose - 2023

This study quantifies the presence of financial distress in the cross section of stock returns. Systemic risk is … outcome of these individual tests is aggregated to construct two indicators of systemic risk. One indicator measures the … formalized by introducing two cross-sectional asymptotically Gaussian tests to assess statistically for the presence of systemic …

Persistent link: https://www.econbiz.de/10014355149

Market Power and Systematic Risk

Hollstein, Fabian; Prokopczuk, Marcel; Würsig, … - 2023

We investigate the impact of product market competition on firms’ systematic risk. Using a measure of total product market similarity, we document a strong negative link between market power and market betas. There is a more than threefold increase in the effect during the most recent...

Persistent link: https://www.econbiz.de/10014355317

When Do You Stop Supporting Your Bankrupt Subsidiary? A Systemic Risk Perspective

Bichuch, Maxim; Detering, Nils - 2023

We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when they would otherwise fail to honor their financial...

Persistent link: https://www.econbiz.de/10014355568

Tail Risk

Chow, Victor; Gu, Jiahao; Wang, Zhan - 2023

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk. We show that the systematic tail risk factors...

Persistent link: https://www.econbiz.de/10014355700

The Effect of Competition and Banking Regulation on Systemic Risk : Evidence from Dual Banking Systems

Ernaningsih, Indria; Smaoui, Houcem; Ben Salah, Dr. Ines - 2023

This paper examines the effect of competition and banking regulation on the systemic risk of Islamic Banks (IBs) and … to 2019, the results show that higher competition tends to reduce systemic risk exposure, with no differential impact … between IBs and CBs. Moreover, larger banks exhibit higher systemic risk. Furthermore, we show that banks with greater market …

Persistent link: https://www.econbiz.de/10014355761

Mitigating Fire Sales with a Central Clearing Counterparty

Vuillemey, Guillaume - 2023

Theoretically, one rationale for central clearing counterparties is the mitigation of inefficiencies associated with distressed asset sales. With novel archival data, I empirically study the first event in economic history during which a CCP successfully played this role: the global wool crisis...

Persistent link: https://www.econbiz.de/10014355936

Banking Stability : The Impact of Financial Sector Heterogeneity on Systemic Risk in Financial Crises and Economic Recessions

León, Carlos; LIU, Zihao; Renneboog, Luc - 2023

focuses, correlated asset holdings, capital structures, and funding sources, reduces systemic risk. We empirically test this …-level systemic risk, SRISK, measured both at the global and local level. We also construct a sector-heterogeneity index and …

Persistent link: https://www.econbiz.de/10014355963

Oil Prices and Systemic Financial Risk : A Complex Network Analysis

Wen, Fenghua; Wang, Kangsheng; Xu, Gong - 2023

The risk arising from drastic changes in oil prices has become an important factor that affects the stability of the financial system. This study uses firm-level data to explore the systemic financial risk contagion from the oil market to the financial markets through a complex network...

Persistent link: https://www.econbiz.de/10014357351