Search Results - subject:"” systemic risk"

Benefits of macro-prudential policy in low interest rate environments

Van der Ghote, Alejandro - 2020

-free real interest rates unintentionally, simply as a by-product of containing systemic risk in financial markets. Thus …

Persistent link: https://www.econbiz.de/10012384490

CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial … institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …’s distress. It can be used for ranking individual systemic risk contributions of financial institutions (banks). CoCDaR and …

Persistent link: https://www.econbiz.de/10012389811

Financial stress index and economic activity in South Africa : new evidence

Ilesanmi, Kehinde Damilola; Tewari, Devi D. - In: Economies : open access journal 8 (2020) 4/110, pp. 1-19

The importance of a sound and stable financial system and by extension economic stability was brought to the fore by the global financial crisis (GFC). The economic and social costs of the GFC have renewed the commitment of stakeholders in the financial sector including central banks to develop...

Persistent link: https://www.econbiz.de/10012389961

Cyber risk surveillance : a case study of Singapore

Goh, Joseph; Kang, Heedon; Koh, Zhi Xing; Lim, Jin Way; … - 2020

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It …

Persistent link: https://www.econbiz.de/10012170162

Banking panic risk and macroeconomic uncertainty

Mikkelsen, Jakob Guldbæk; Poeschl, Johannes - 2020

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …

Persistent link: https://www.econbiz.de/10012149870

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

Persistent link: https://www.econbiz.de/10012163949

Central bank independence and systemic risk

Andrieş, Alin Marius; Podpiera, Anca Maria; Sprincean, Nicu - 2020

We investigate the relationship of central bank independence and banks' systemic risk measures. Our results support the … on the contribution and exposure of a bank to systemic risk. Moreover, the impact of central bank independence is similar … independence may exacerbate the effect of a crisis on the contribution of banks to systemic risk. However, central bank …

Persistent link: https://www.econbiz.de/10012232865

Macroeconomic models for monetary policy : a critical review from a finance perspective

Dou, Winston Wei; Lo, Andrew W.; Muley, Ameya; Uhlig, Harald - In: Annual review of financial economics 12 (2020), pp. 95-140

Persistent link: https://www.econbiz.de/10012404623

Connected funds

Fricke, Daniel; Wilke, Hannes - 2020

Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...

Persistent link: https://www.econbiz.de/10012421902

Banks in Colombia : how homogeneous are they

León, Carlos - In: Revista de economía del Rosario 23 (2020) 2, pp. 1-42

Persistent link: https://www.econbiz.de/10012426338