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Advanced Search Results For "SYSTEMIC risk (Finance)"

1 - 10 of 3,872 results for
 "SYSTEMIC risk (Finance)"
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Network Effects and Characteristics of Cross-Industrial Tail Risk Spillover in China.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 6/28/2022, p1-15. 15p.

Abstract:In recent years, the Chinese capital market has suffered several violent shocks, and the characteristics of systemic risk contagion across industries and markets have become increasingly important. It brings great potential danger to the stability of f...

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JFQ volume 57 issue 3 Cover and Front matter.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, pf1-f5. 5p.

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Dynamic Contagion of Systemic Risk in an Endogenous Banking System.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 6/16/2022, p1-11. 11p.

Abstract:An endogenous banking system is proposed based on dynamic mechanisms of interbank loans and investment strategies to explore the behavioral incentives of diversification and its effects on systemic risk. The results highlight the advantages of differen...

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Systemic Risk and Collateral Adequacy: Evidence from the Futures Market.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, p1142-1173. 32p.

Abstract:Conventional collateral requirements for derivatives are conservative, but not explicitly designed to buffer systemic risk. I explore collateral adequacy against systemic risk in the Canadian futures market during the 2008 crisis. I find that conventio...

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Measuring systemic risk and contagion in the European financial network.

Publication Type:Academic Journal

Source(s):Empirical Economics. Jul2022, Vol. 63 Issue 1, p345-389. 45p. 1 Illustration, 11 Diagrams, 18 Charts, 8 Graphs.

Abstract:This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key European banks ...

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Finance, growth and (macro)prudential policy: European evidence.

Publication Type:Academic Journal

Source(s):Empirica. May2022, Vol. 49 Issue 2, p537-571. 35p.

Abstract:This paper examines the interactions between financial development, economic growth and (macro)prudential policy on a sample of 12 euro area countries. Our main takeaway is that active (macro)prudential policy supports the positive finance-growth nexus...

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Do Capital Requirements Make Banks Safer? Evidence From a Quasinatural Experiment.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; Aug2022, Vol. 57 Issue 5, p1805-1833, 29p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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An asymptotic study of systemic expected shortfall and marginal expected shortfall.

Publication Type:Academic Journal

Source(s):Insurance: Mathematics & Economics. Jul2022, Vol. 105, p238-251. 14p.

Abstract:• Quantify SES and MES in accordance with quantitative risk management. • Model losses as randomly weighted and heavy-tailed random variables. • Employ ES to determine solvency capital requirement and conduct capital allocation. • Conduct an asymptotic...

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When does portfolio compression reduce systemic risk?

Publication Type:Academic Journal

Source(s):Mathematical Finance. Jul2022, Vol. 32 Issue 3, p727-778. 52p.

Abstract:We analyze the consequences of portfolio compression for systemic risk. Portfolio compression is a post‐trade netting mechanism that reduces gross positions while keeping net positions unchanged and it is part of the financial legislation in the United...

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Systemic Cyber Risk and Aggregate Impacts.

Publication Type:Academic Journal

Source(s):Risk Analysis: An International Journal. Aug2022, Vol. 42 Issue 8, p1606-1622. 17p.

Abstract:With some of the largest cyber attacks occurring in recent years—from 2010 to 2019—we are only beginning to understand the full extent of cyber risk. As businesses grapple with the risks of cyber‐incidents and their imperfect ability to prevent them, a...

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