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Financial risk

About: Financial risk is a research topic. Over the lifetime, 11899 publications have been published within this topic receiving 231404 citations. The topic is also known as: economic risk.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors employed dynamic connectedness as a measure of financial risk synchronization considering government bond yields in 11 EMU member states and found that core countries appear to transmit shocks to periphery countries although, occasionally, there are noteworthy disparities.

64 citations

Book ChapterDOI
TL;DR: In this paper, the authors identify features of financial systems that have the potential to exacerbate procyclicality and empirically assesses their importance for eleven East Asian economies, five of which are “advanced” (Australia, Hong Kong, Japan, New Zealand, Singapore) and six of which were “emerging market economies”.
Abstract: In most countries, financial systems are procyclical. Credit to the non-financial private sector typically increases when output is expanding and contracts during recessions, while asset prices respond to favorable growth expectations. Procyclicality is a normal consequence of the process through which the financial system finances economic growth. However, the experience of some emerging markets and OECD countries, where rapid credit growth and asset price bubbles have preceded sharp cyclical downturns, often accompanied by episodes of financial instability, suggests that features of the financial system can exacerbate the cycle. Interest in this issue has been heightened by the strong output growth coupled with rapid credit growth and asset price inflation in many Asian countries. This has contributed to concerns that a build-up of risk in financial systems could exacerbate the cyclical downturn, as it did in a number of countries in 1997–8. This chapter identifies features of financial systems that have the potential to exacerbate procyclicality and empirically assesses their importance for eleven East Asian economies, five of which are “advanced” (Australia, Hong Kong, Japan, New Zealand, Singapore) and six of which are “emerging market economies” (China, Indonesia, Korea, Malaysia, Philippines, Thailand).

64 citations

Patent
09 Oct 2002
TL;DR: In this paper, a software application program, executed by a processor of a digital data processing device, can be used to analyze and model economic/financial risk associated with sovereigns, financial sectors, non-financial sectors, and/or investment portfolios.
Abstract: The disclosed technology enables a software application program, executed by a processor of a digital data processing device, to analyze and model economic/financial risk associated with sovereigns, financial sectors, non-financial sectors, and/or investment portfolios. The disclosed technology can calculate and assess, for example, contingent claim values, asset values, volatilities, default barriers, and monetary parameters from financial and macroeconomic data associated with government and monetary authorities and can use such calculations to calibrate risk models and generate economic balance sheets for an economy useful in valuation, risk and vulnerability analysis, risk mitigation, design of investment strategies, and policy analysis and design.

64 citations

Posted Content
TL;DR: In this article, a disinterested assessment of EVT from the vantage point of financial risk management is presented, and the authors show how certain pitfalls can be avoided and sketch a number of explicit research directions that will help EVT to be realized.
Abstract: Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence hold promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associate with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized.

63 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023122
2022250
2021643
2020658
2019673
2018541