This paper measures the systemic risk of a banking sector as a hypothetical distress insurance premium, identifies various sources of financial instability, and allocates systemic risk to individual financial institutions. The systemic risk measure, defined as the insurance cost to protect...

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread...

The research was focused on strategic capacity planning for the liquid crystal display (LCD) module plants under one of the three largest TFT-LCD manufacturers in the world. The results of performance evaluation by data envelopment analysis (DEA) model and cluster analysis indicated the...

We investigate determination of commercial property prices and their interaction with aggregate bank lending. An illustrative model suggests that lending is closely related to property prices and property markets can develop cycles given plausible assumptions. Cross-country empirical analysis...

This paper investigates the impact of CDS trading on the development of the bond market in Asia. In general, CDS trading has lowered the cost of issuing bonds and enhanced the liquidity in the bond market. The positive impact is stronger for smaller firms, non-financial firms and those firms...

Few areas of monetary economics have been studied as extensively as the transmission mechanism. The literature on this topic has evolved substantially over the years, following the waxing and waning of conceptual frameworks and the changing characteristics of the financial system. In this paper,...

We seek to assess the relationship between commercial property price movements and the behavior and performance of individual banks in a range of industrialized economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be...