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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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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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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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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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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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EU banks after the crisis: sinners in the hands of angry markets
Journal of Banking and Financial Economics, 2018 European Union banks were severely hit by the global fi nancial crisis in 2008 and their stock prices and returns have generally not recovered since then, differently to what has been observed in other sectors (i.e., non-fi nancial corporations) and ...
Antonio Sánchez Serrano
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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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Monitoring Vulnerabilities in the Residential Real Estate Sector in Poland
Gospodarka Narodowa. The Polish Journal of Economics, 2020 This paper applies a framework for monitoring vulnerabilities in the residential real estate sector to the case of Poland. The framework considers indicators across three dimensions of real estate-related vulnerabilities, i.e.
Magdalena Grothe
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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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