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Shock Amplification in an Interconnected Financial System of Banks and Investment Funds
Social Science Research Network, 2021This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion
Matthias Sydow +17 more
semanticscholar +1 more source
Financial Mathematics, Derivatives and Structured Products, 2019
Raymond H. Chan +3 more
openaire +2 more sources
Raymond H. Chan +3 more
openaire +2 more sources
Climate risk and financial stability in the network of banks and investment funds
Journal of Financial Stability, 2020We develop a method to analyze the effects on financial stability of the interplay between climate policy shocks and market conditions. We combine the frameworks of the Climate Stress-test with the framework of the network valuation of financial assets ...
Alan Roncoroni +5 more
semanticscholar +1 more source
The portfolio holdings of euro area investors: looking through investment funds
Journal of International Money and Finance, 2021Studies of bilateral portfolio holdings typically consider investment fund shares as equity instruments, failing to take into consideration the true exposures of investors.
Daniela Carvalho
semanticscholar +1 more source
Resources policy, 2021
Renewable energy sources have significant socio-economic benefits. Usually, the investment in such ventures is financed by the states. However, the growing scale warrants enhanced participation from financial markets.
Xiangfeng Ji +3 more
semanticscholar +1 more source
Renewable energy sources have significant socio-economic benefits. Usually, the investment in such ventures is financed by the states. However, the growing scale warrants enhanced participation from financial markets.
Xiangfeng Ji +3 more
semanticscholar +1 more source
ESG Investment Funds: A Chance to Reduce Systemic Risk
Social Science Research Network, 2020We consider a network of equity mutual funds characterized by different levels of compliance with Environmental, Social, and Governance (ESG) aspects. We measure the impact of portfolio liquidation in a stress scenario on funds with different ESG rates ...
R. Cerqueti +3 more
semanticscholar +1 more source
Macroprudential Regulation of Investment Funds
SSRN Electronic Journal, 2022The investment fund sector, the largest component of the non-bank financial system, is growing rapidly and the economy is becoming more reliant on investment fund financial intermediation. This paper builds a dynamic stochastic general equilibrium model with banks and investment funds.
Di Iasio, Giovanni +2 more
openaire +2 more sources
Investment services and investment funds
SSRN Electronic Journal, 2019Investment services and activities, on the one side, and collective investment management, on the other, are two of the main silos in which capital markets legislation is currently articulated. They have different origins and originally stem from different needs: investment funds were first regulated in 1985, by the first UCITS Directive, which was ...
openaire +1 more source
Relative performance of religious and ethical investment funds
, 2020This paper updates the literature regarding the performance of constrained US mutual funds by looking at the relative performance of Christian mutual funds, socially responsible funds and Islamic funds.
Esther Castro +3 more
semanticscholar +1 more source
Investment funds, shadow banking and systemic risk
Journal of Financial Regulation and Compliance, 2016Elias Bengtsson
exaly +2 more sources