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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
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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
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Systemic Risk in Financial Networks: A Survey [PDF]
Social Science Research Network, 2020 We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g., defaults, correlated ...
M. Jackson, Agathe Pernoud
semanticscholar +1 more source
The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms
Journal of Risk and Financial Management, 2022 There are diverging results in the literature on whether engaging in ESG related activities increases or decreases the financial and systemic risks of firms.
M. H. Eratalay +1 more
semanticscholar +1 more source
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
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Risk-Neutral Systemic Risk Indicators [PDF]
SSRN Electronic Journal, 2013 This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary ...
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Perspectives on transformational change in climate risk management and adaptation
Environmental Research Letters, 2021 In the context of strong evidence on mounting climate-related risks and impacts across the globe, the need for ‘transformational change’ in climate risk management and adaptation responses has been brought forward as an important element to achieve the ...
Teresa Maria Deubelli, Reinhard Mechler
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The multi-layer network nature of systemic risk and its implications for the costs of financial crises [PDF]
, 2015 The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of
Martínez-Jaramillo, Serafín +4 more
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Systemic Risk and the COVID Challenge in the European Banking Sector
Journal of Banking & Finance, 2020 This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk ...
Nicola Borri, Giorgio Di Giorgio
semanticscholar +1 more source
Determinants of construction sector profitability in Croatia [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2018 This paper examines the determinants of profitability for construction companies in Croatia. Sample includes more than 8678 construction companies covering the period from 2003 to 2014 what present 11 years of observation including Croatian milestone ...
Lorena Škuflić +2 more
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