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Economic Volatility, Banks’ Risk Accumulation and Systemic Risk

He, Wenjia; He, Wenjing; Xu, Dandan; Yue, Pengpeng - 2023

study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non …-core liabilities as the bank's risk accumulation index, we show that low economic volatility increases bank risk accumulation but … decreases systemic risk. However, banks with a higher risk accumulation in a period of low economic volatility will have a …

Persistent link: https://www.econbiz.de/10014355289

J-REIT Market Quality : Impact of High Frequency Trading and the Financial Crisis

Jain, Pawan - 2017

analyze the impact of high frequency trading on market quality of J-REITs, in terms of liquidity, volatility, and systemic …

Persistent link: https://www.econbiz.de/10012955878

High-speed technology trading innovations and capital market performance in Bulgaria

Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

Persistent link: https://www.econbiz.de/10011964945

Systemic risk : time-lags and persistence

Kubitza, Christian; Gründl, Helmut - 2016 - This version: May 2016

Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting persistence of institutions' systemic risk we develop and...

Persistent link: https://www.econbiz.de/10011478661

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

How important was contagion through banks during the European sovereign crisis?

Gonçalves, Andrei S. - 2017

We use days with tail sovereign CDS spread changes of peripheral countries to identify the effects of shocks to the cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS changes have an asymmetric impact in that bank stocks...

Persistent link: https://www.econbiz.de/10011963385

Is size everything?

Antill, Samuel; Sarkar, Asani - 2018

We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...

Persistent link: https://www.econbiz.de/10011894404

Short-selling, leverage and systemic risk

Pais, Amelia; Stork, Philip - 2013

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...

Persistent link: https://www.econbiz.de/10010226885

Transatlantic systemic risk

Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013

In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...

Persistent link: https://www.econbiz.de/10009784871

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

that are driven by out of equilibrium behavior, such as clustered volatility and fat tails. We argue that traditional …

Persistent link: https://www.econbiz.de/10011906282