This paper examines the relationship between systemic risk measures across 546 financial institutions in major petroleum-based economies and oil movements. In this paper, we follow two steps. In the first step, we estimate the delta conditional VaR (CoVaR) for the financial institutions and...

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

The Federal Deposit Insurance Corporation (FDIC) resolves insolvent banks using an auction process in which bidding is multidimensional and the rule used to evaluate bids along the different dimensions is proprietary. Uncertainty about the scoring rule leads banks to simultaneously submit...

Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of low interest rates. Relying on the REX, Germany"s leading bond index, laddered cash flows are created, and maturity structures are systematically changed. A constructed rolling...

The 2007–2010 financial crisis has hit a variety of countries asymmetrically. The case of Spain is particularly illustrative as it exemplifies in a vivid manner most of the core issues largely responsible for the crisis. This country experienced a pronounced housing bubble partly funded via...

The confluence of three trends in the U.S. residential housing market-rising home prices, declining interest rates, and near-frictionless refinancing opportunities-led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is...

This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinominial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation...

This paper tests the validity of a single-factor (market) model to price consumer lending risk. It classifies US counties into 25 portfolios based on unemployment and nominal income growth. The results, using serious delinquency on revolving credit as default risk, show that the intercepts are...