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Supervision of banking networks using the multivariate threshold-minimum dominating set (mT-MDS)

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-13

The global financial crisis of 2008, triggered by the collapse of Lehman Brothers, highlighted a banking system that was widely exposed to systemic risk. The minimization of the systemic risk via a close and detailed monitoring of the entire banking network became a priority. This is a complex...

Persistent link: https://www.econbiz.de/10014332454

Time to simplify banking supervision: An evidence-based study on PCA framework in India

Bhusan, Soumik; Hazarika, Angshuman; Gopal, Naresh - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-20

The financial stability of the commercial banking sector remains one of the critical responsibilities of the Reserve Bank of India (RBI). Weak banks cause instability in the financial system, triggering depositor runs. While several studies covered the prompt corrective action framework (PCA)...

Persistent link: https://www.econbiz.de/10014332472

High-Frequency Trading (HFT) and market quality research: An evaluation of the alternative HFT proxies

Hossain, Shahadat - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-31

explore a sharp uptrend in HFT activities and accompanying improvement in market liquidity in the European market. We show …

Persistent link: https://www.econbiz.de/10013201358

Secondary market liquidity and primary market pricing of corporate bonds

Goldstein, Michael A.; Hotchkiss, Edith; Pedersen, David J. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-17

This paper studies the link between secondary market liquidity for a corporate bond and the bond's yield spread at … issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the … underwriting syndicate, we find an economically large impact of liquidity on yield spreads. We estimate that a 10% increase in …

Persistent link: https://www.econbiz.de/10012611112

The impact of algorithmic trading in a simulated asset market

Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-11

level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …

Persistent link: https://www.econbiz.de/10012611130

Positive liquidity spillovers from sovereign bond-backed securities

Dunne, Peter G. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25

disappear if dealers are diversified in providing liquidity across country-specific secondary markets and SBBS tranches. Hedging …

Persistent link: https://www.econbiz.de/10012611140

Price discovery of a speculative asset: Evidence from a Bitcoin exchange

Ghysels, Eric; Nguyen, Giang H. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-26

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …

Persistent link: https://www.econbiz.de/10012611219

News-driven expectations and volatility clustering

Inoua, Sabiou M. - In: Journal of Risk and Financial Management 13 (2020) 1, pp. 1-14

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for...

Persistent link: https://www.econbiz.de/10012611230

Intraday jumps, liquidity, and U.S. macroeconomic news: Evidence from exchange traded funds

Jurdi, Doureige J. - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-20

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …

Persistent link: https://www.econbiz.de/10012611347

Using supra-covered bonds to enhance liquidity in the euro area: Assessment of advantages for the banking sector

Salto, Matteo; Zedda, Stefano; Zeugner, Stefan - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-10

The discussion on the necessity of a larger volume of very highly quality liquid assets (VHQLA) in the euro area has been very extensive. The debate on expanding the pool of comparable euro area assets focuses on "safe assets", often on various combinations of government bonds, most of which...

Persistent link: https://www.econbiz.de/10012611520