Journal ArticleDOI
Good for one, bad for all: Determinants of individual versus systemic risk
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In this article, the authors analyzed a sample of large international banks in major advanced economies and examined the impact that bank-specific factors have on an institution's solvency risk and its contribution to systemic risk.About:
This article is published in Journal of Financial Stability.The article was published on 2013-09-01. It has received 56 citations till now. The article focuses on the topics: Financial risk management & Systemic risk.read more
Citations
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An analysis of the literature on systemic financial risk: A survey
TL;DR: In this paper, the authors present an analysis of the literature on systemic financial risk and identify the most influential articles in this field of research and the articles that compose the mainstream research on systemic risk.
Journal ArticleDOI
Measuring systemic risk in the European banking sector: A Copula CoVaR approach
TL;DR: In this paper, a new methodology based on copula functions to estimate CoVaR, the value-at-risk (VaR) of the financial system conditional on an institution being under financial distress, is proposed.
Journal ArticleDOI
Systemic Risk and Bank Size
Simone Varotto,Lei Zhao +1 more
TL;DR: In this article, the authors analyse aggregate and firm level systemic risk for US and European banks from 2004 to 2012 and find that common systemic risk indicators are primarily driven by firm size which implies an overriding concern for “too-big-to-fail” institutions.
Journal ArticleDOI
Systemic Risk and Bank Size
Simone Varotto,Lei Zhao +1 more
TL;DR: In this paper, the authors analyse firm level systemic risk for US and European banks from 2004 to 2012 and obtain new risk measures that often prove to be superior predictors of financial distress during the 2007-2009 subprime crisis.
Journal ArticleDOI
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
TL;DR: In this article, the authors analyze the emergence of systemic risk in a network model of interconnected bank balance sheets and suggest a new macro-prudential risk management approach building on a system wide value at risk (SVaR).
References
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Journal ArticleDOI
On the pricing of corporate debt: the risk structure of interest rates
TL;DR: In this article, the American Finance Association Meeting, New York, December 1973, presented an abstract of a paper entitled "The Future of Finance: A Review of the State of the Art".
Posted Content
Market liquidity and funding liquidity
TL;DR: In this article, the authors provide a model that links an asset's market liquidity and traders' funding liquidity, i.e., the ease with which they can obtain funding, to explain the empirically documented features that market liquidity can suddenly dry up, has commonality across securities, is related to volatility, is subject to flight to quality, and comoves with the market.
Journal ArticleDOI
Market Liquidity and Funding Liquidity
TL;DR: In this article, the authors provide a model that links a security's market liquidity and traders' funding liquidity, i.e., their availability of funds, to explain the empirically documented features that market liquidity can suddenly dry up (i) is fragile), (ii) has commonality across securities, (iii) is related to volatility, and (iv) experiences “flight to liquidity” events.
Book
Quantitative Risk Management: Concepts, Techniques, and Tools
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this paper, where the authors describe the latest advances in the field, including market, credit and operational risk modelling.
Journal ArticleDOI
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles *
TL;DR: In this article, the authors propose a new approach to quantile estimation which does not require any of the extreme assumptions invoked by existing methodologies (such as normality or i.i.d. returns).