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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ...
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...
How do insured deposits affect bank risk? Evidence from the 2008 Emergency Economic Stabilization Act
(2014-10-01)
This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance ...
Liquidity Coinsurance and Bank Capital
(2014-03-01)
Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We ...
Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration
(2014-06-01)
This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation ...
Assessing Systemic Fragility – a Probabilistic Perspective
(2014-10-01)
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ...
Regulatory Influence on Market Conditions in the Banking Union
(2015-06-02)
This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a ...
Insurance Activities and Systemic Risk
(2015-12-01)
This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality ...
Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks
(2015-11-01)
The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. ...