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Measuring and testing for the systemically important financial institutions

Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012

Persistent link: https://www.econbiz.de/10009664893

Measuring and testing for the systemically important financial institutions

Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012

This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...

Persistent link: https://www.econbiz.de/10011590621

Measuring and Testing for the Systemically Important Financial Institutions

Castro Iragorri, Carlos Alberto - 2012

Persistent link: https://www.econbiz.de/10013099433

Local currency risk

Borri, Nicola - 2017 - This version: May 29, 2017

Emerging country governments increasingly issue local currency denominated bonds and foreign investors have been increasing their holdings of these assets. By issuing debt denominated in local currency, emerging country governments eliminate exchange rate risk. The growing stock of local...

Persistent link: https://www.econbiz.de/10015410028

A network model of financial system resilience

Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012

Persistent link: https://www.econbiz.de/10009619091

The effect of the interbank network structure on contagion and financial stability

Georg, Co-Pierre - 2010

influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …

Persistent link: https://www.econbiz.de/10009012483