Search Results - subject:"” systemic risk"

Network-based measures of systemic risk in Korea

Choi, Jaewon; Lee, Jieun - In: Journal of derivatives and quantitative studies : … 31 (2023) 3, pp. 174-196

The authors estimate systemic risk in the Korean economy using the econometric measures of commonality and … connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the … of their measures at the market, chaebol, and industry levels. Although the measures indicate systemic risk is not a …

Persistent link: https://www.econbiz.de/10014375095

SVB and beyond: the banking stress of 2023

Acharya, Viral V. (ed.); Richardson, Matthew (ed.); … - Centre for Economic Policy Research - 2023

Persistent link: https://www.econbiz.de/10014364362

Banks, interest rate risk and systemic risk : theoretical and historical perspectives

Richardson, Matthew; Savov, Alexi; Schnabl, Philipp - In: SVB and beyond: the banking stress of 2023, (pp. 33-69). 2023

Persistent link: https://www.econbiz.de/10014365299

A theory of safe asset creation, systemic risk, and aggregate demand

Altinoglu, Levent - 2023

Persistent link: https://www.econbiz.de/10014388457

A novel high-frequency indicator of financial integration for monitoring the impact of COVID-19

Borgioli, Stefano; Kochanska, Urszula; Mongelli, … - 2023

In early 2020, the rapid spread of the coronavirus (COVID-19) quickly developed into a pandemic. This was followed by a sharp global economic downturn that was extraordinary in its speed, reach and scale. Within days of the first reported COVID-19 cases, the ECB daily Composite Indicator of...

Persistent link: https://www.econbiz.de/10014299598

A network approach to interbank contagion risk in South Africa

Mananga, Pierre Nkou; Lin, Shiqiang; Zhang, Hairui - 2023

Persistent link: https://www.econbiz.de/10014337911

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

Systemic cascades on inhomogeneous random financial networks

Hurd, T. R. - In: Mathematics and Financial Economics 17 (2023) 1, pp. 1-21

This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with N nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterparty relationships between nodes. The onset of a systemic...

Persistent link: https://www.econbiz.de/10015327909

Summary compliance report : September 2023 : recommendation of the European Systemic Risk Board of 15 December 2015 on the assessment of cross-border effects of and voluntary recip...

European Systemic Risk Board - 2023

Systemic Risk Board of 15 December 2015 on the assessment of cross-border effects of and voluntary reciprocity for …

Persistent link: https://www.econbiz.de/10015278495

Summary compliance report : February 2023 : recommandation of the European Systemic Risk Board of 25 May 2020 on liquidity risks arising from margin calls (ESRB/2020/6) - sub-recom...

European Systemic Risk Board - 2023

On 25 May 2020, the European Systemic Risk Board (ESRB) issued Recommendation ESRB/2020/6 aimed at addressing the …

Persistent link: https://www.econbiz.de/10015280397