Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10010490426
This paper estimates and compares two groups of high-frequency market-based systemic risk measures from 2004 to 2009 using European and US data of interbank rates, stock prices and credit derivatives both at aggregate market level as well as the individual bank level. The former group of...
Persistent link: https://www.econbiz.de/10013115669
For central banks, it is crucial to develop and maintain risk identification frameworks that allow them to detect in good time and address potential threats to financial stability with the most appropriate policy tools. This paper reviews the main indicators developed for this purpose by the...
Persistent link: https://www.econbiz.de/10013210815
This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using...
Persistent link: https://www.econbiz.de/10013064738
Persistent link: https://www.econbiz.de/10009741912
Persistent link: https://www.econbiz.de/10009686233
Persistent link: https://www.econbiz.de/10011298962
Persistent link: https://www.econbiz.de/10011878189
Persistent link: https://www.econbiz.de/10011456914
This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...
Persistent link: https://www.econbiz.de/10013028447