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Measures of Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2017 35 pages, 11 ...
Zachary Feinstein, Birgit Rudloff
exaly +5 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
Systemic risk and the European Systemic Risk Board [PDF]
, 2009 Financial crises are often characterised by a few financial institutions \ud failing, followed by a cascade of collapses. Economists are not good at \ud predicting which shocks will trigger an initial collapse. Thus, an early \ud warning system might be better focused on measuring systemic risk, or \ud the vulnerability of the financial system to the ...
Sibert, Anne
openaire +3 more sources
Risk-Sharing and the Creation of Systemic Risk [PDF]
SSRN Electronic Journal, 2020 We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents self-hedge and hold more liquid assets; this buffers aggregate ...
Acharya, Viral V. +2 more
openaire +3 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 Risks and the Macroeconomy [PDF]
IMF Working Papers, 2010 This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory.
LUCCHETTA, Marcella, G. De Nicolo'
openaire +9 more sources
Applied Economics, 2022 How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? Using a dynamic panel model, we document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-wide distress analysing a panel of 367 publicly listed banks from 47 countries over the period 2007-
George Marian Aevoae +3 more
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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 ($Δ$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 terms
Jan Dhaene +2 more
openaire +4 more sources
The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy [PDF]
, 2021 This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be ...
Skouralis, Alexandros, Skouralis, A.
core +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