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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 ...
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. ...
Estimation and Model-Based Combination of Causality Networks
(2017-01-31)
Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ...
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders
(2017-08-01)
We investigate how solvency and wholesale funding shocks to 84 OECD parent banks affect the lending of 375 foreign subsidiaries. We find that parent solvency shocks are more important than wholesale funding shocks for ...