Results 21 to 30 of about 2,505,472 (267)
THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS
Buletin Ekonomi Moneter dan Perbankan, 2020 This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH ...
Mutiara Aini +1 more
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The Role of Capital in Financial Institutions and Systemic Risk [PDF]
پژوهشهای تجربی حسابداری, 2014 This research estimates a measure of systemic risk, namely Systemic Expected Shortfall, as the aggregate amount of capital that financial institutions need in order to offset a certain fraction of liabilities when the financial system is undercapitalized.
Seyed Ali Hoseini +1 more
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A Systemic Contribution and Vulnerability of Non-financial Firms: A Cross Industry Analysis
NUML International Journal of Business & Management, 2023 This paper quantifies the systemic importance of non-financial firms by assessing their contribution and vulnerability to systemic shocks. We apply two firm-specific measures, namely Delta CoVaR (ΔCoVaR) and Marginal Expected Shortfall (MES), to ...
Zafar Azam, Abdul Raheman, Abdul Rashid
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Systems, 2023 By employing two systemic risk methods, the marginal expected shortfall (MES) and the component expected shortfall (CES), this paper measures the systemic risk level of all sectors in China’s financial market from 2014 to 2022; thereby, it researches the
Ao Lei, Hui Zhao, Yixiang Tian
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Administrative Sciences, 2020 Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities.
Cristina Zeldea
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Performance Evaluation of Systemic Risk Measures in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالیAfter the 2008 financial crisis, the importance of studying systemic risk became more apparent. In this regard, various metrics have been presented to measure systemic risk, but the main question is which metric has a better and more comprehensive ...
Mohammad Azad +3 more
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How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment [PDF]
SSRN Electronic Journal, 2011 We explore the practical relevance from a supervisor's viewpoint of a recent but already popular market-based indicator of the systemic importance of financial institutions, the marginal expected shortfall (MES). The MES of an institution can be defined as its expected equity loss when the market itself is in its left tail.
Idier, Julien +2 more
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Measuring systemic risk in the financial institution via dynamic conditional correlation and delta conditional value at risk mode and bank rating [PDF]
Journal of Asset Management and Financing, 2019 Systematic risk (in economics often called aggregate risk or undiversifiable risk) is vulnerability to events which affect aggregate outcomes such as broad market returns, total economy-wide resource holdings, or aggregate income.
Reza Eivazloo, mehdi rameshg
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Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment [PDF]
Journal of Empirical Finance, 2018 Abstract The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al. (2016) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios.
de Sola Perea, Maite +3 more
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Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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