Journal ArticleDOI
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
TLDR
In this paper, the authors discuss a method to estimate the capital that a financial firm would need to raise if we have another financial crisis, based on publicly available information but is conceptually similar to the stress tests conducted by US and European regulators.Abstract:
The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012, yet many of the banking issues remain the same. We discuss a method to estimate the capital that a financial firm would need to raise if we have another financial crisis. This measure of capital shortfall is based on publicly available information but is conceptually similar to the stress tests conducted by US and European regulators. We argue that this measure summarizes the major characteristics of systemic risk and provides a reliable interpretation of the past and current financial crises.read more
Citations
More filters
Journal ArticleDOI
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold,Kamil Yilmaz +1 more
TL;DR: In this paper, the authors propose several connectedness measures built from pieces of variance decomposition positions, and argue that they provide natural and insightful measures of connectedness among nancial asset returns and volatilities.
Journal ArticleDOI
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
TL;DR: Bekaert et al. as mentioned in this paper introduced SRISK, a measure to measure the systemic risk contribution of a financial firm, which is a function of its size, leverage and risk.
Journal ArticleDOI
SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement
Journal ArticleDOI
Financial Network Systemic Risk Contributions
TL;DR: In this article, the authors define the realized systemic risk beta as the total time-varying marginal effect of a firm's Value-at-Risk (VaR) on the system's VaR.
Journal ArticleDOI
Financial Network Systemic Risk Contributions
TL;DR: In this article, the authors propose the realized systemic risk beta as a measure of financial companies' contribution to systemic risk, given network interdependence between firms' tail risk exposures.
References
More filters
Journal ArticleDOI
Financial Intermediation, Loanable Funds, and The Real Sector
Bengt Holmstrom,Jean Tirole +1 more
TL;DR: In this article, an incentive model of financial intermediation in which firms as well as intermediaries are capital constrained is studied, and how the distribution of wealth across firms, intermediaries, and uninformed investors affects investment, interest rates, and the intensity of monitoring.
Journal ArticleDOI
Estimating betas from nonsynchronous data
Myron S. Scholes,Joseph Williams +1 more
TL;DR: In this article, the observed market model and associated ordinary least squares estimators are developed in detail, and computationally convenient, consistent estimators for parameters of the market model are calculated and then applied to daily returns of securities listed in the NYSE and ASE.
Posted Content
Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression
TL;DR: This paper examined the effects of the financial crisis of the 1930s on the path of aggregate output during that period and argued that the financial disruptions of 1930-33 reduced the efficiency of the credit allocation process; and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand.
ReportDOI
Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression
TL;DR: The authors examined the effects of the financial crisis of the 1930s on the path of aggregate output during that period and argued that the financial disruptions of 1930-33 reduced the efficiency of the credit allocation process; and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand.
Journal ArticleDOI
Volatility, correlation and tails for systemic risk measurement
TL;DR: In this paper, the authors proposed an empirical methodology to measure systemic risk of a financial institution with its contribution to the deterioration of the system capitalization that would be experienced in a crisis.