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Goodhart, Charles A. E. - 2009

system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of … associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system …

Persistent link: https://www.econbiz.de/10012677701

Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax

Markose, Sheri M. - 2012

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...

Persistent link: https://www.econbiz.de/10009678940

Global Market Conditions and Systemic Risk

González Hermosillo, Brenda - 2009

This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a...

Persistent link: https://www.econbiz.de/10012677893

Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks.

Kim, Yoon Sook - 2006

Intro -- Contents -- Executive Summary -- I. INTRODUCTION -- II. LONG- TERM SYSTEMIC RISKS -- III. INNOVATIONS IN RISK TRANSFER MARKETS -- IV. INCOMPLETE MARKETS -- V. POLICY CONSIDERATIONS -- VI. CONCLUSIONS -- References.

Persistent link: https://www.econbiz.de/10012691045

Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective

Lu, Yinqiu - 2006

Intro -- Contents -- I. INTRODUCTION -- II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS -- III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL FRAMEWORK -- VI. RESULTS -- VII. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691162

Systemic Risk Monitoring ("SysMo") Toolkit A User Guide.

Blancher, Nicolas R - 2013

Indicators (FSIs) -- XVII. Bank Health Assessment Tool (HEAT) -- XVIII. Thresholds Model -- XIX. Macro Stress Tests. …

Persistent link: https://www.econbiz.de/10012689859

Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?

Belkhir, Mohamed - 2023

This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools-including DSTI and LTV limits, and capital requirements-reduces bank systemic risk …

Persistent link: https://www.econbiz.de/10015059389

Macroprudential Regulation and Sector-Specific Default Risk

Belkhir, Mohamed - 2022

This paper studies the transmission of macroprudential policies across both financial and non financial sectors of the economy. It first documents that tighter macroprudential regulations implemented in Europe over the period 2008-2017 lowered default risk not only in the financial, but also in...

Persistent link: https://www.econbiz.de/10015060258

Quality of government and living standards : adjusting for the efficiency of public spending

Grigoli, Francesco; Ley, Eduardo - 2012

It is generally acknowledged that the government's output is difficult to define and its value is hard to measure. The practical solution, adopted by national accounts systems, is to equate output to input costs. However, several studies estimate significant inefficiencies in government...

Persistent link: https://www.econbiz.de/10009620981