Systemic Risk Measures And Determinants
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Systemic Risk Measures And Determinants
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Author : María Rodríguez-Moreno
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2016-01-08
Systemic Risk Measures And Determinants written by María Rodríguez-Moreno and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with categories.
This book studies the measurement and the determinants of systemic risk, paying special attention to the role of the Credit Default Swaps (CDSs) either as financial instruments containing valuable information about the soundness of the reference institutions or as a market whose distress contributes to potential systemic shocks on the economy. The measurement of systemic risk is addressed from two perspectives, aggregate and individual contribution to systemic risk where the former refers to the level of systemic risk in the overall economy and the latter to the individual contribution of each financial institution to the overall systemic risk. The analysis of the determinants of the individual contribution of financial institutions to systemic risk focuses on the effect of their portfolio holdings of derivatives. Finally, this thesis studies the liquidity commonalities and their determinants in the corporate CDS worldwide markets. The main participants in these markets are systemically important financial institutions (SIFIs) and so abrupt changes in the market liquidity could cause systemic shocks on the overall economy and, as a consequence, could have adverse effects on global stability.
Systemic Risk And Complex Networks In Modern Financial Systems
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Author : Vincenzo Pacelli
language : en
Publisher: Springer Nature
Release Date : 2024-10-16
Systemic Risk And Complex Networks In Modern Financial Systems written by Vincenzo Pacelli and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-16 with Business & Economics categories.
This open access book is a groundbreaking exploration of systemic risk in modern financial systems. Through its theoretical and empirical investigations, it reveals the multidimensionality of systemic risk, the transmission channels of crises, and the interlinkages between physical, transition, and financial risks. It introduces cutting-edge methodologies, including prediction and optimization models based on complex networks, multilayer networks and eXplainable Artificial Intelligence (XAI) approaches, to forecast and measure systemic risk and financial crisis. It provides insight for academics, practitioners, policy and supervisory authorities, and bankers and financial market operators on understanding the links that determine the propagation of financial crises and the emergence of systemic risks. This book is essential for those wishing to better understand systemic risk and its implications.
Measuring Systemic Risk
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Author : Deyan Radev
language : en
Publisher: Springer Nature
Release Date : 2022-02-07
Measuring Systemic Risk written by Deyan Radev and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-07 with Technology & Engineering categories.
This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become “too big to fail” and “too systemic to fail” should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.
Systemic Risk Crises And Macroprudential Regulation
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Author : Xavier Freixas
language : en
Publisher: MIT Press
Release Date : 2023-08-22
Systemic Risk Crises And Macroprudential Regulation written by Xavier Freixas and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-22 with Business & Economics categories.
A framework for macroprudential regulation that defines systemic risk and macroprudential policy, describes macroprudential tools, and surveys the effectiveness of existing macroprudential regulation. The recent financial crisis has shattered all standard approaches to banking regulation. Regulators now recognize that banking regulation cannot be simply based on individual financial institutions' risks. Instead, systemic risk and macroprudential regulation have come to the forefront of the new regulatory paradigm. Yet our knowledge of these two core aspects of regulation is still limited and fragmented. This book offers a framework for understanding the reasons for the regulatory shift from a microprudential to a macroprudential approach to financial regulation. It defines systemic risk and macroprudential policy, cutting through the generalized confusion as to their meaning; contrasts macroprudential to microprudential approaches; discusses the interaction of macroprudential policy with macroeconomic policy (monetary policy in particular); and describes macroprudential tools and experiences with macroprudential regulation around the world. The book also considers the remaining challenges for establishing effective macroprudential policy and broader issues in regulatory reform. These include the optimal size and structure of the financial system, the multiplicity of regulatory bodies in the United States, the supervision of cross-border financial institutions, and the need for international cooperation on macroprudential policies.
Handbook On Systemic Risk
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23
Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Mathematics categories.
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Systemic Risk Tomography
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Author : Monica Billio
language : en
Publisher: Elsevier
Release Date : 2016-11-25
Systemic Risk Tomography written by Monica Billio and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-25 with Business & Economics categories.
In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to "think and rethink the economic and financial system and to conceive it as an "ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. - Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations - Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions - Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system
Computational Methods For Risk Management In Economics And Finance
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Author : Marina Resta
language : en
Publisher: MDPI
Release Date : 2020-04-02
Computational Methods For Risk Management In Economics And Finance written by Marina Resta and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-02 with Business & Economics categories.
At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.
A Theoretical And Empirical Examination Of The Determinants Of Systematic Risk
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Author : Carolyn M. Callahan
language : en
Publisher:
Release Date : 1985
A Theoretical And Empirical Examination Of The Determinants Of Systematic Risk written by Carolyn M. Callahan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Corporation reports categories.
Banks Foreign Credit Exposures And Borrowers Rollover Risks Measurement Evolution And Determinants
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Author : Mr.Eugenio Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2013-01-11
Banks Foreign Credit Exposures And Borrowers Rollover Risks Measurement Evolution And Determinants written by Mr.Eugenio Cerutti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-11 with Business & Economics categories.
The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems’ foreign credit exposures and borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates’ funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks’ foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries’ reliance on foreign bank credit—how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions.
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Author : Frank K. Reilly
language : en
Publisher: 中信出版社
Release Date : 2002
written by Frank K. Reilly and has been published by 中信出版社 this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business enterprises categories.
本书向您介绍了投资分析与组合管理。