Results 31 to 40 of about 1,271 (233)
Nonlinear spillover effect of us monetary policy uncertainty on China’s systematic financial risks
Journal of Business Economics and Management, 2022 Monetary policy uncertainty (MPU) not only imposes a great impact on the systematic financial risks of a country but also generates a significant spillover effect on countries having close economic exchanges with the former under the background of global
Zhigang Ouyang +3 more
doaj +1 more source
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
SSRN Electronic Journal, 2019 This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system.
Banulescu-Radu, Denisa +3 more
openaire +5 more sources
The Leaders, the Laggers, and the “Vulnerables”
Risks, 2020 We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices.
Veni Arakelian, Shatha Qamhieh Hashem
doaj +1 more source
Marginal expected shortfall inference under multivariate regular variation
, 2023 Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context, results of statistical inference rely on the bivariate extreme values approach, disregarding the extremal dependence ...
Padoan, Simone A. +2 more
openaire +2 more sources
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Risks, 2020 In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth
Takaaki Koike, Marius Hofert
doaj +1 more source
Individual contributions to portfolio risk: risk decomposition for the BET-FI index [PDF]
Computational Methods in Social Sciences, 2015 The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units.
Marius ACATRINEI
doaj
SPECULATIVE BUBBLE DYNAMICS AND SYSTEMIC RISK IN SHADOW BANKING INSTITUTIONS: EVIDENCE FROM THE UNITED STATES AND EUROPE [PDF]
Financial StudiesThis study investigates speculative bubble dynamics and systemic risk characteristics among listed shadow banking institutions in the United States and Europe over the period 2010–2026.
Andreea Elena CROICU
doaj +1 more source
Nonlinear AnalysisThe paper considers the asymptotics of the systemic expected shortfall (SES) and the marginal expected shortfall (MES) in systemic risks. We mainly consider individual losses to be the products of primary variables and random weights, where a dependence
Xiaowen Shen, Kaiyong Wang, Yuan Xie
doaj +1 more source
BCP Business & Management, 2022 In recent years, the systemic risks of China's stock market has broken out frequently. Many scholars believe that leverage is an important factor that affects systemic risk. Based on Acharya(2010)，this paper studies the relationship between leverage, Marginal Expected Shortfall and Systemic Expected Shortfall of stocks in China under the background of ...
Hanxiao Wei, Jianrong Tang
openaire +1 more source
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
doaj +1 more source