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Regulating Systemic Risk [PDF]
SSRN Electronic Journal, 2010 The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. The paper argues that financial crises can be prevented, as they build up over time due
Kawai, Masahiro, Pomerleano, Michael
core +8 more sources
A systemic risk assessment methodological framework for the global polycrisis [PDF]
Nature CommunicationsHuman societies and ecological systems face increasingly severe risks, stemming from crossing planetary boundaries, worsening inequality, rising geo-political tensions, and new technologies.
Ajay Gambhir +27 more
doaj +2 more sources
Endogenous Systemic Liquidity Risk [PDF]
SSRN Electronic Journal, 2008 Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk.
Cao, Jin, Illing, Gerhard
core +11 more sources
Measures of Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2016 Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential ...
Feinstein, Zachary +2 more
core +4 more sources
Systemic risk: Conditional distortion risk measures [PDF]
Insurance: Mathematics and Economics, 2022 In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($ $CoD) measures as measures of systemic risk and analyze their properties and representations. The classes include the well-known conditional Value-at-Risk, conditional Expected Shortfall, and risk contribution measures in ...
Dhaene, Jan +2 more
openaire +5 more sources
Loan renegotiation and the long-term impact on total factor productivity
Latin American Journal of Central Banking, 2022 When a loan is close to becoming non-performing, banks have stronger incentives to renegotiate it in favourable conditions for the borrower (loan forbearance) rather than for recognising and resolving the non-performing loan.
Antonio Sánchez Serrano
doaj +1 more source
Systemic Risk Contributions [PDF]
Finance and Economics Discussion Series, 2010 We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (
Xin Huang, Hao Zhou, Haibin Zhu
openaire +2 more sources
Economic Modelling, 2023 Political risk impacts firm-level risk, influencing funding costs, cash holdings, and capital structure choices. Traditional approaches to political risk rely on aggregate indicators, like economic policy uncertainty proxies. In contrast, our study examines how political risk spreads among individual US firms and sectors using network analysis and ...
Chuliá, Helena +2 more
openaire +5 more sources
Review of Financial Studies, 2010 We present a simple model of systemic risk and we show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is undercapitalized.
Viral V. Acharya +3 more
openaire +5 more sources
Conditional Systemic Risk Measures [PDF]
SIAM Journal on Financial Mathematics, 2021 We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall Systemic Risk Measures. In the particular case of exponential preferences, we provide explicit formulas that also allow
Alessandro Doldi, Marco Frittelli
openaire +4 more sources