Search Results - subject_exact:"Systemic risk"

Transformed intermediation : credit risk to NBFIs, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

We argue that the rapid asset growth of nonbank financial intermediaries (NBFIs) relative to banks is the outcome of transformations of risks between banks and NBFIs that increase the interconnectedness of the two sectors. These transformations are consistent with avoiding tighter, post-GFC bank...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564039

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Transformed intermediation : credit risk to nbfis, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

Transformed Intermediation : Credit Risk to NBFIs, Liquidity Risk to Banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619088

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The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Book / Working Paper

Monetary asymmetry and ESG governance in the Eurozone : mapping evolving risk narratives through bibliometric analysis

Garefalakis, Alexandros; Angelaki, Erasmia; … - 2026

This paper investigates how monetary and ESG-related risks-especially those stemming from asymmetric policy transmission across Eurozone economies-have evolved over time, with a focus on the post-COVID-19 era. Using a mixed-method bibliometric analysis of 216 peer-reviewed articles (1996-2025),...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611568

Systemic cyber risk

Baker, Steven D.; Lee, Michael Junho - 2026

We propose a quantitative framework to track systemic risk arising from cyber vulnerabilities of the U.S. financial system. Synthesizing financial, economic, cyber, and network data that covers thousands of financial institutions and technological firms, we develop an index that tracks...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614725

Liquidity spirals

Wiersema, Garbrand; Kemp, Esti; Farmer, J. Doyne - 2026

The financial crisis of 2007-2008 highlighted the risks that liquidity spirals pose to financial stability. We introduce a novel method for studying liquidity spirals and use this method to identify spirals before stock prices plummet and funding markets lock up. We show that liquidity spirals...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592365

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - 2026

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591384

Disentangling the "shadow banking" metaphor

Labat Moles, Héctor - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604801

Comparative analysis of stablecoin architectural features in fragmented regulatory environments

Vlasov, Andrej Vasil'evič; Egorov, Andrej Jur'evič; … - 2026

Amidst the escalating geopolitical fragmentation of the global financial system, divergent stablecoin architectures are emerging. This study employs Qualitative Comparative Analysis (QCA) and introduces a formalized 'Geopolitical Stablecoin' (GPSC) model to conduct a systematic comparison of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628479

Investigating the systematically important equity sectors in extreme conditions : a case of Johannesburg Stock Exchange

Lawrence, Babatunde; Chaturvedi, Anurag; Obalade, … - 2026

This study examined the 'too central to fail' concept in the South African equity sector. We employed the Granger causality framework and PageRank algorithm to generate the centrality scores of the sectors on the Johannesburg Stock Exchange under extreme market conditions. Using the realized...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639065

Critical regimes of systemic risk : flow network cascades in the U.S. banking system

Montañez Jacquez, Samuel; Quezada Téllez, Luis Alberto; … - 2026

Systemic risk in banking systems arises from losses transmitted through networks of contractual exposures. Yet, most widely used measures rely on market-implied volatility and equity prices rather than structural balance sheet fragilities. This paper develops a flow network framework that models...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639141

Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index

Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - 2026

Financial markets often display nonlinear and turbulent dynamics during periods of stress, and crude-oil and global equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic features and regime-dependent spillovers across...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643357

Understanding systemic risks in the Canadian financial system

Bruneau, Gabriel; Clazie-Thomson, Sascha; Duprey, Thibaut; … - 2026 - Last updated: June 11, 2026

This paper reviews recent efforts to monitor and assess systemic risk in the Canadian financial system and outlines a framework for future system-wide stress testing. We examine how perceived and actual interconnections-across banks and non-bank financial institutions, domestic and foreign...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015661657

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647638

Bank regulation and the rise of nonbank intermediation

Brunetti, Celso; Frei, Christoph - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653205

CyRISK : a capital shortfall measure of cyber risk in the financial system

Eling, Martin; Häusle, Niklas; Irresberger, Felix; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665616

Systemic risk and the insurance sector : a network perspective

Sylos Labini, Stefania; D'Apolito, Elisabetta; Nyenno, Iryna - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101848

Sectoral credit allocation and systemic risk

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015323463

Can effects of weather variation predict future economic downturn? : Evidence from systemic risk in Indian financial markets

Thakkar, Pratik - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375161

Reassessment of structural changes in financial markets : the direct impact of central banks

Miró, Damià Rey; Piffaut, Pedro V.; Zurdo, Ricardo Palomo - 2025

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375716

Carrying the (paper) burden : a portfolio view of systemic risk and optimal bank size

Bos, Jaap W. B.; Lamers, Martien; Peyrache, Antonio; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330426

Navigating uncertainty in an emerging market : data-centric portfolio strategies and systemic risk assessment in the Johannesburg Stock Exchange

Muteba Mwamba, John; Mba, Jules C.; Kitenge, Anaclet K. - 2025

This study investigates systemic risk, return patterns, and diversification within the Johannesburg Stock Exchange (JSE) during the COVID-19 pandemic, utilizing data-centric approaches and the ARMA-GARCH vine copula-based conditional value-at-risk (CoVaR) model. By comparing three investment...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338318

Realized random graphs, with an application to the interbank network

Buccheri, Giuseppe; Mazzarisi, Piero - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339740

Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359037

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Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2022

Book / Working Paper

Systemic Risk in Markets with Multiple Central Counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2022

Book / Working Paper

Bank heterogeneity and crisis migration : a general equilibrium analysis of systemic risk

Lucchetta, Marcella - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464260

Crisis-proofing heterogeneous banks

Lucchetta, Marcella - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464307

Talk and the city : how far to trust bankers (not) calling for bailouts?

Dietrich, Diemo; Gehrig, Thomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550731

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Talk and the city: how far to trust bankers (not) calling for bailouts?

Dietrich, Diemo; Gehrig, Thomas - 2025

Book / Working Paper

Talk and the city : how far to trust bankers (not) calling for bailouts

Dietrich, Diemo; Gehrig, Thomas - 2025

Book / Working Paper

Talk and the City: how far to trust bankers (not) calling for bailouts?

Dietrich, Diemo; Gehrig, Thomas - 2025

Book / Working Paper

Press freedom and systemic risk

Kladakis, George; Skouralis, Alexandros - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470304

Portfolio selection under systemic risk

Lin, Weidong; Olmo, Jose; Taamouti, Abderrahim - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471208

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Portfolio Selection Under Systemic Risk

Lin, Weidong - 2020

Book / Working Paper

Shared exposures or management fashions? : antecedents of convergence in the insurance and banking industries

Fang, Lei; Lanzolla, Gianvito; Tsanakas, Andreas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472137

Impact of COVID-19 pandemic on Asia-Pacific banks

Kangogo, Moses; Mutuku, Judith - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473138

A liquidity black hole : what is the impact of a failing participant in a large-value payment system, and does time matter?

Heijmans, Ronald; Woerd, Ellen van der - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666808

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A liquidity black hole : what is the impact of a failing participant in a large value payment system and does time matter?

Heijmans, Ronald; Woerd, Ellen van der - 2025

Book / Working Paper

Effect of the GSIB surcharge on the systemic risk posed by the activities of GSIBs

Migueis, Marco; Peirce, Sydney - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406777

Macroprudential policy and the tail risk of credit growth

Galán, Jorge E. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406875

Monetary policy, bank leverage and systemic risk-taking

Aoki, Kōsuke; Martorell, Enric; Nikolov, Kalin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407098

Comparing the systemic risk of Italian insurers and banks

Bianchi, Michele Leonardo; Pallante, Federica - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408590

Uncovering systemic risk in ASEAN corporations : a framework based on graph theory and hidden models

Cortés Rufé, Marc; Martí Pidelaserra, Jordi; … - 2025

In the context of an ever-evolving global economy, ASEAN companies face dynamic systemic risk that reshapes their financial interrelationships. This study examines the transmission of these risks using advanced graph theory techniques, particularly the measurement of eigenvector centrality based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408941

Systemic risk in the European insurance sector

Bonaccolto, Giovanni; Borri, Nicola; Consiglio, Andrea; … - 2025

This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413900

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk

Kladakis, George; Lux, Nicole; Skouralis, Alexandros - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432818

Systemic risk and commercial bank stability in the Middle East and North Africa (MENA) region

Jalloul, Rim; Haque, Mahfuzul - 2025

Using panel data spanning 2004-2023 of 21 countries in the MENA (Middle East and North Africa) region, we measure systemic risk and assess its influence on key banking sector performance indicators, including financial stability (proxied by commercial bank branches per 100,000 adults), providing...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437049

Collateral reuse and financial stability

Chang, Jin-Wook B.; Chuan, Grace - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437918

Black swans and financial stability : a framework for building resilience

Barth, Daniel; Schreft, Stacey L. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438067

System-wide financial stress testing in Luxembourg

Fique, José; Jin, Xisong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457503

Industry tournament incentives and the US financial systemic risk

Nguyen, Tu; Suardi, Sandy; Zhao, Jing - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459409

ESG reporting and systemic risk : evidence from European markets

Lupu, Iulia; Hurduzeu, Gheorghe; Ţigu, Gabriela; … - 2025

This study examined the relationship between Environmental, Social, and Governance (ESG) reporting quality and systemic financial risk in European equity markets. A novel index was developed to evaluate reporting quality, combining three dimensions: the scope of disclosures, the extent of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461623

Systemic robustness : a mean-field particle system approach

Bayraktar, Erhan; Guo, Gaoyue; Tang, Wenpin; Zhang, Yuming - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461690

Policy approaches for climate and biodiversity inancial risks

Engole, Emmanuel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445128

Unintended consequences of regulating central clearing

D'Erasmo, Pablo N.; Erol, Selman; Ordoñez, Guillermo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445548

Do G-SIBs engage in window-dressing behavior? : an empirical analysis

Pliszka, Kamil; Schlam, Carina - 2025

This paper examines whether global systemically important banks (G-SIBs) engage in window-dressing behavior to circumvent or reduce regulatory requirements, increasing vul- nerability to economic shocks. Using a comprehensive global bank sample, we uncover ev- idence of such practices: G-SIBs...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445673

Robust learning of tail dependence

Ardakani, Omid M. - 2025

Accurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme value theory. I establish strong consistency...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562118

The transformation of the life insurance industry : systemic risks and policy challenges

Aquilina, Matteo; Garavito, Fabian; Gelos, Gaston; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609546