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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10011590621
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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
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10011272804
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Measuring and Testing for the Systemically Important Financial Institutions
Castro Iragorri, Carlos Alberto - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10013099433
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14
This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...
Persistent link: https://www.econbiz.de/10011042127
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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - In: Journal of empirical finance 25 (2014), pp. 1-14
Persistent link: https://www.econbiz.de/10010462114
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A Network model of systemic risk: identifying the sources of dependence across institutions
Castro, Carlos; Ordoñez, Juan Sebastian - UNIVERSIDAD DEL ROSARIO - 2012
Abstract: We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is...
Persistent link: https://www.econbiz.de/10010763236
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010411283
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016
penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk … sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …
Persistent link: https://www.econbiz.de/10011414705
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Systemic Risk Spillovers in the European Banking and Sovereign Network
Betz, Frank - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10013046470