a securitization process. Against the background of increased corporate indebtedness, our interest is in quantifying … the U.S., where corporate credit securitization has been reintensified in recent years. Simulations deliver adverse medium …%. Securitization activities above this threshold lead to significant welfare losses from the medium-term onwards. Two transmission …

the cost of increasing systemic risk. Later, a follow-up study showed that a particular strategy of securitization with … tranches can help avoid this trade-off. We extend the theoretical work on securitization by considering all possible strategies … for securitization with two tranches, by finding their corresponding optimal diversification solutions, and by discussing …

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …

indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

the war in Ukraine. Despite these specific episodes, volatility in the post-subprime crisis period has been low in … quickly and forcefully. In this paper, an estimation and quantification of the pre-pandemic and post-pandemic volatility … between the change in the balance sheets of the main central banks and market volatility. If such relationships exist, it …

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in … erupt more than twice. The volatility in any specific sub-sector within the ICEM can propagate throughout the entire system …. The spillover pattern of volatility in the ICEM shows similarities across various economic cycles. The fuel cell market is …