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Fat tails and their (un)happy endings : correlation bias and its implications for systemic risk and prudential regulation

Chan-Lau, Jorge A. - 2011

Persistent link: https://www.econbiz.de/10009486263

Fat Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

International Monetary Fund - 2011

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is … shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …

Persistent link: https://www.econbiz.de/10014401318

Cyclical patterns of systemic risk metrics : cross-country analysis

Iossifov, Plamen; Schmidt, Tomas Dutra - 2021

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995-2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity...

Persistent link: https://www.econbiz.de/10012517945

Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk

Jobst, Andreas A. - 2013

multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic …

Persistent link: https://www.econbiz.de/10014395367

Systemic contingent claims analysis : estimating market-implied systemic risk

Jobst, Andreas A.; Gray, Dale - 2013

Persistent link: https://www.econbiz.de/10009726539

Modeling banking, sovereign, and macro risk in a CCA global VAR

Gray, Dale; Groß, Marco; Paredes, Joan; Sydow, Matthias - 2013

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic...

Persistent link: https://www.econbiz.de/10012667482

Risks and vulnerabilities in the U.S. bond mutual fund industry

Bouveret, Antoine; Yu, Jie - 2021

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...

Persistent link: https://www.econbiz.de/10012605013

Interconnectedness and contagion analysis : a practical framework

Bricco, Jana; Xu, TengTeng - 2019

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country's financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country's...

Persistent link: https://www.econbiz.de/10012122482

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/10014395549

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Severo, Tiago - 2012

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank...

Persistent link: https://www.econbiz.de/10014395690