Results 21 to 30 of about 7,901,979 (308)
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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Social Perception of Systemic Risks [PDF]
Risk Analysis, 2021 AbstractThe article distinguishes between two types of risks: conventional and systemic risks. Conventional risks can be contained in space and time, follow linear cause–effect relationships and can be addressed with effective and pointed interventions into the cause–effect chain.
Pia‐Johanna Schweizer +2 more
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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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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 +2 more
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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 to policy mistakes and eventually erupt in “slow motion.” While one cannot predict the precise ...
Masahiro Kawai, Michael Pomerleano
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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
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DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM [PDF]
Mathematical Finance, 2011 We develop a finite horizon continuous time market model, where risk‐averse investors maximize utility from terminal wealth by dynamically investing in a risk‐free money market account, a stock, and a defaultable bond, whose prices are determined via equilibrium.
Agostino Capponi, Martin Larsson
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Regulation of systemic liquidity risk [PDF]
, 2010 Liquidity regulation, Systemic risk, Lender of last resort, Deposit insurance, Financial stability, E5, G21, G28,
Gerhard Illing +3 more
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Multivariate Shortfall Risk Allocation and Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2018 Code, results and figures can also be consulted at https://github.com/yarmenti ...
Armenti, Yannick +3 more
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Systemic Risk and Liquidity in Payment Systems [PDF]
SSRN Electronic Journal, 2009 We study liquidity and systemic risk in high-value payment systems. Flows in high-value systems are characterized by high velocity, meaning that the total amount paid and received is high relative to the stock of reserves. In such systems, banks rely heavily on incoming funds to finance outgoing payments, necessitating a high degree of coordination and
Gara M. Afonso, Hyun Song Shin
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