Search Results - subject:"” systemic risk"

How Do Banking Supervisors Deal with Europe-wide Systemic Risk?

Schüler, Martin - 2003

The systemic risk potential in the European banking market has increased. Hence, the following questions emerge: Is … the EU with respect to the increased Europe-wide systemic risk. We argue that cooperation between national supervisors … of a European observatory of systemic risk. …

Persistent link: https://www.econbiz.de/10010298122

Systemic Risk in European Banking: Evidence from Bivariate GARCH Models

Schüler, Martin; Schröder, Michael - 2003

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … the development of systemic risk: a non-parametric test of constancy of the correlation, a test of parallel shifts in the …

Persistent link: https://www.econbiz.de/10010298129

Interbank Lending, Reserve Requirements and Systemic Risk

Iori, Giulia; Jafarey, Saqib; Padilla, Francisco - Society for Computational Economics - SCE - 2003

We simulate interbank lending. Each bank faces fluctuations in deposits and stochastic investment opportunities which mature with delay. This creates the risk of liquidity shortages. An interbank market lets participants pool this risk but also creates the potential for one bank's crisis to...

Persistent link: https://www.econbiz.de/10005537830

CPSS Core Principles for Payment Systems.

Heinrich, Gregor - Volkswirtschaftliche Fakultät, … - 2003

There are a number of international initiatives that have the goal of improving or maintaining financial stability by strengthening financial infrastructure. The Committee on Payment and Settlement Systems (CPSS) contributed to this process through its work on developing Core Principles for...

Persistent link: https://www.econbiz.de/10011261149

On time-scaling of risk and the square–root–of–time rule

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2003

well-suited for the modeling of systemic risk, which is the raison d’etre of the Basel capital adequacy proposals. We …

Persistent link: https://www.econbiz.de/10010745168

Systemic Risk in European Banking: Evidence from Bivariate GARCH Models

Schüler, Martin; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2003

Persistent link: https://www.econbiz.de/10005097915

Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...

Persistent link: https://www.econbiz.de/10005101914

Systemic Risk in the Dutch Financial Sector

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major … financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained … breakdown among the major Dutch financials. This indicates that systemic risk is significant, which has implications for …

Persistent link: https://www.econbiz.de/10005106754

Managing Systemic Banking Crises

Quintyn, Marc; Hoelscher, David S. - International Monetary Fund (IMF) - 2003

Recent financial sector crises and their resolution have raised new issues and provided additional experiences to draw on in the future. Banking sector problems in Russia, Turkey, and a few Latin American countries occurred within the context of highly dollarized economies, high levels of...

Persistent link: https://www.econbiz.de/10005590869

Ukraine; Financial System Stability Assessment, including Reports on the Observance of Standards and Codes on the following topics: Monetary and Financial Policy Transparency, Banking Supervision, and Payment Systems

International Monetary Fund (IMF); International … - 2003

This Financial System Stability Assessment paper for Ukraine reviews financial sector issues and highlights macroeconomic developments, vulnerabilities, and soundness of the financial system. It discusses creditors' rights, insolvency, and corporate governance, and Anti-Money Laundering and...

Persistent link: https://www.econbiz.de/10005591673