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Systemic Contingent Claims Analysis – Estimating Market-Implied Systemic Risk

Jobst, Andreas (Andy) - 2013

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...

Persistent link: https://www.econbiz.de/10013085135

Multivariate depencence of implied volatilities from equity options as measure of systemic risk

Jobst, Andreas A. - In: International review of financial analysis 28 (2013), pp. 112-129

Persistent link: https://www.econbiz.de/10009762689

Measuring Systemic Risk-Adjusted Liquidity (SRL) — A Model Approach

Jobst, Andreas (Andy) - 2014

Little progress has been made so far in addressing — in a comprehensive way — the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines...

Persistent link: https://www.econbiz.de/10013064251

Measuring Systemic Risk-Adjusted Liquidity (SRL) — A Model Approach

Jobst, Andreas (Andy) - 2014

Persistent link: https://www.econbiz.de/10013064252

Multivariate dependence of implied volatilities from equity options as measure of systemic risk

Jobst, Andreas A. - In: International Review of Financial Analysis 28 (2013) C, pp. 112-129

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … large changes in equity volatility were more likely to occur and responses to extreme shocks became more differentiated as … high data frequency are essential to the robust measurement of systemic risk, which could enhance market-based early …

Persistent link: https://www.econbiz.de/10011056771

Measuring systemic risk-adjusted liquidity (SRL)—A model approach

Jobst, Andreas A. - In: Journal of Banking & Finance 45 (2014) C, pp. 270-287

Little progress has been made so far in addressing—in a comprehensive way—the negative externalities caused by excessive maturity transformation and the implications for effective liquidity regulation of banks. The SRL model combines option pricing theory with market information and balance...

Persistent link: https://www.econbiz.de/10011065601

Analyzing Systemic Risk using CoVaR under Elliptical Distributions

Hakwa, Brice - 2015

One of the main challenges for the regulatory authorities in the aftermath of the last financial crisis is to define pragmatical and practicable risk concepts for the control and the regulation of systemic risks. They need for this purpose risk models that on one hand can capture the macro...

Persistent link: https://www.econbiz.de/10013009730

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017

improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

Persistent link: https://www.econbiz.de/10011662132

Systemic risk in the financial sector : what can we learn from option markets?

Kraft, Holger; Schmidt, Alexander - 2013 - Current version: July 12, 2013

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...

Persistent link: https://www.econbiz.de/10010226884

Pitfalls in the Use of Systemic Risk Measures

Löffler, Gunter - 2017

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank's systematic risk, idiosyncratic risk, size or...

Persistent link: https://www.econbiz.de/10012971890