Results 11 to 20 of about 10,459,346 (392)
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 +6 more sources
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 to policy mistakes and eventually erupt in “slow motion.” While one cannot predict the precise ...
Masahiro Kawai, Michael Pomerleano
openaire +5 more sources
Applied Economics, 2022 sponsorship: Andries and Sprincean acknowledge financial support from the Romanian National Authority for Scientific Research and Innovation, CNCS - UEFISCDI - PN-III-P4-ID-PCE2020-0929. Ongena acknowledges financial support from ERC ADG 2016 - GA 740272 lending.
George Marian Aevoae +3 more
openaire +4 more sources
What is the Minimal Systemic Risk in Financial Exposure Networks? [PDF]
Journal of Economic Dynamics and Control, 2019 Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the financial crisis ...
Christian Diem +2 more
semanticscholar +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-sharing framework of cryptocurrencies in the COVID-19 crisis. [PDF]
Financ Res Lett, 2022 Akhtaruzzaman M +3 more
europepmc +3 more sources
Understanding systemic risk induced by climate change [PDF]
Advances in Climate Change Research, 2021 LI H, WANG X, ZHAO X, QI Y.
europepmc +2 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
Russia-Ukraine War and Systemic Risk: Who is Taking the Heat?
Social Science Research Network, 2022 The Russia-Ukraine conflict has increased systemic vulnerabilities of the global financial system. We develop a database of news events and investigate the systemic risk implications of the conflict on Russia, Ukraine, France, Germany, Italy, the UK, the
A. Qureshi +3 more
semanticscholar +1 more source
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