Search Results - subject:"Systemic risk."

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2022 - This version: March 22, 2022

Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life...

Persistent link: https://www.econbiz.de/10013175693

ESG and systemic risk

Aevoae, George; Andrieş, Alin Marius; Ongena, Steven; … - 2022

How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? We … interconnectedness and maintaining financial stability. A similar relationship for banks’ exposure to systemic risk is also found. Our …

Persistent link: https://www.econbiz.de/10013169195

Addressing systemic risk in Europe during Covid-19 : the role of regulation and the policy mix

Dotta, Vitor - 2022

This work examines the impacts which the Covid-19 pandemic brought to the stability of the European financial sector. Lockdowns, businesses unable to operate and uncertainty about how the pandemic would evolve fueled a sharp recession. From the lessons learned in the global financial crises and...

Persistent link: https://www.econbiz.de/10013188926

Credit market concentration and systemic risk in Europe

Kukk, Merike; Paulus, Alari; Reig, Nicolas - 2022

Persistent link: https://www.econbiz.de/10013192725

Measuring and stress-testing market-implied bank capital

Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022

allows us to introduce this correction in the SRISK framework for measuring systemic risk …

Persistent link: https://www.econbiz.de/10013168743

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41

risks of firms in a stock market context. For this purpose we analyse the systemic risk indicators of the constituent stocks … systemic risk indicators by applying a principle components approach to the estimated volatilities and correlations. Our focus … is on the impact of ESG ratings on systemic risk indicators, while we consider network centralities, volatilities and …

Persistent link: https://www.econbiz.de/10013168839