Search Results - subject:"” systemic risk"

On Aggregate Fluctuations, Systemic Risk, and the Covariance of Firm-Level Activity

Mullen, Rory - 2023

Pairwise covariances of firm growth rates appear to drive the variance of aggregate growth rates in productivity, sales, and profit for public firms in the United States over the last half-century. High-productivity firms contribute most to the covariances driving aggregate variance, but least...

Persistent link: https://www.econbiz.de/10014349563

The UBS-Credit Suisse Merger : Helvetia's Gift

Böni, Pascal; Kroencke, Tim-Alexander; Vasvari, Florin P. - 2023

The UBS- Credit Suisse (CS) merger in March 2023, one of the biggest banking unions in history, was an emergency rescue deal engineered by Swiss authorities to avoid more market-shaking turmoil in global banking. The merger resulted in a significant increase in the combined stakeholder net...

Persistent link: https://www.econbiz.de/10014349670

Bank Consolidation, Connectedness, and Systemic Risk

Dontis-Charitos, Panagiotis; Leong, Soon - 2023

of systemic risk transmission between acquirers and the financial system. We exploit our measure’s directionality and … granularity to offer novel results on the exact channels of systemic risk transmission within and across national borders, and … extend prior work to include bank-nonbank deals. We find that while US acquirers contribute more to extreme systemic risk …

Persistent link: https://www.econbiz.de/10014350263

SVB and Beyond : The Banking Stress of 2023

Acharya, Viral V.; Richardson, Matthew; Schoenholtz, … - 2023

Starting in March 2023, depositor runs quickly led to the failures of Silicon Valley Bank (SVB), Signature Bank, and First Republic Bank. In the wake of higher interest rates, uninsured depositors of these banks had lost confidence in their business model of taking in deposits and investing the...

Persistent link: https://www.econbiz.de/10014352647

Shining a Light on Shadow Banks

Corrigan, Patrick M. - 2023

To date, descriptive accounts and reform proposals have framed the problems arising from “shadow banking” as about the risks of lending and maturity transformation by nonbanks outside the guardrails of banking law. This Article shows that most shadow banks are engaged in the business of...

Persistent link: https://www.econbiz.de/10014352768

Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests

Oordt, Maarten R. C. van - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 465-501

Persistent link: https://www.econbiz.de/10014305980

Influential Risk Spreaders and Their Contribution to the Systemic Risk in the Cryptocurrency Network

Yang, Ming-Yuan; Wang, Chengjin; Wu, Zhen-Guo; Wu, Xin; … - 2023

This paper studies the risk spreading ability of cryptocurrencies and their contribution to the systemic risk during … the contribution of cryptocurrencies to the systemic risk via ∆CoVaR, and detect what contributes to the systemic risk … prices or high turnover, contribute more to the systemic risk …

Persistent link: https://www.econbiz.de/10014353366

Economic Volatility, Banks’ Risk Accumulation and Systemic Risk

He, Wenjia; He, Wenjing; Xu, Dandan; Yue, Pengpeng - 2023

Preventing systemic risk from the perspective of bank risk accumulation has been widely researched and supported. This … study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non … decreases systemic risk. However, banks with a higher risk accumulation in a period of low economic volatility will have a …

Persistent link: https://www.econbiz.de/10014355289

Uncertainty in Systemic Risks Rankings : Bayesian and Frequentist Analysis

Goldman, Elena - 2023

In this paper we propose efficient Bayesian Hamiltonian Monte Carlo method for estimation of systemic risk measures … institutions over the period of 2000-2020. The systemic risk measures are computed based on the Dynamic Conditional Correlations … systemic risk distributions such as 90, 95, or 99% depending on risk preferences with higher quantiles being more conservative …

Persistent link: https://www.econbiz.de/10014355991

Systemic Risks in the Cryptocurrency Market : Evidence from the FTX Collapse

Jalan, Akanksha; Matkovskyy, Roman - 2023

significant increases and decreases in systemic risk and liquidity, respectively …

Persistent link: https://www.econbiz.de/10014254453