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The dynamics of spillover effects during the European sovereign debt crisis

Alter, Adrian; Beyer, Andreas - 2013

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

Persistent link: https://www.econbiz.de/10011605603

A sensitivities based CoVaR approach to asset commonality and its application to SSM banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...

Persistent link: https://www.econbiz.de/10014278526

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

increase a sector’s vulnerability to shocks and contagion. …

Persistent link: https://www.econbiz.de/10011605170

Systemic risk rankings and network centrality in the European banking sector

De Bruyckere, Valerie - 2015

This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The pro- posed model makes use of the network structure of financial institutions by including the stock return series of all...

Persistent link: https://www.econbiz.de/10011605893

Systemic Risk Rankings and Network Centrality in the European Banking Sector

Bruyckere, Valerie De - 2015

This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The proposed model makes use of the network structure of financial institutions by including the stock return series of all...

Persistent link: https://www.econbiz.de/10013014960

The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

Persistent link: https://www.econbiz.de/10012819045

Financing the low-carbon transition in Europe

Carradori, Olimpia; Giuzio, Margherita; Kapadia, Sujit; … - 2023

Using evidence from the EU emissions trading system, we collect verified emissions of close to 4000 highly polluting and mostly non-listed firms responsible for 26% of EU's emissions. Over the period 2013-2019, we find a non-linear relationship between leverage and emissions. A firm with higher...

Persistent link: https://www.econbiz.de/10014374689

A Sensitivities Based CoVaR Approach to Assets Commonality and its Application to SSM Banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

One important source of systemic risk can arise from asset commonality among ﬁnancial institutions. This indirect interconnection may occur when ﬁnancial institutions invest in similar or correlated assets and is also described as overlapping portfolios. In this work, we propose a...

Persistent link: https://www.econbiz.de/10014239684

The Low-Carbon Transition, Climate Commitments and Firm Credit Risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms’ green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

Persistent link: https://www.econbiz.de/10013310278

Decomposing systemic risk: The roles of contagion and common exposures

Hałaj, Grzegorz; Hipp, Ruben - 2024

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …

Persistent link: https://www.econbiz.de/10014543608