Measuring Systemic Risk
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Measuring Systemic Risk
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Author : Deyan Radev
language : en
Publisher: Springer Nature
Release Date : 2022-02-07
Measuring Systemic Risk written by Deyan Radev and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-07 with Technology & Engineering categories.
This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become “too big to fail” and “too systemic to fail” should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.
Measuring Systemic Risk
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Author : Viral V. Acharya
language : en
Publisher:
Release Date : 2012
Measuring Systemic Risk written by Viral V. Acharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Measuring Systemic Risk
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Author :
language : en
Publisher:
Release Date : 2012
Measuring Systemic Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Financial risk categories.
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. SES increases with the institution's leverage and with its expected loss in the tail of the system's loss distribution. Institutions internalize their externality if they are 'taxed' based on their SES. We demonstrate empirically the ability of SES to predict emerging risks during the financial crisis of 2007-2009, in particular, (i) the outcome of stress tests performed by regulators; (ii) the decline in equity valuations of large financial firms in the crisis; and, (iii) the widening of their credit default swap spreads.
Measuring Systemic Risk Adjusted Liquidity Srl
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Author : Andreas Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-01
Measuring Systemic Risk Adjusted Liquidity Srl written by Andreas Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.
Measuring Systemic Risk In The U S Banking System
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Author : James W. Kolari
language : en
Publisher:
Release Date : 2018
Measuring Systemic Risk In The U S Banking System written by James W. Kolari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper develops a novel measure of systemic risk that combines mapping technology and regression methods. Self-organizing maps (SOM) and lasso logistic regressions are employed to estimate default probabilities for individual U.S. commercial banks from 2001 to 2017. Subsequently, these probabilities are aggregated into a size-weighted measure of systemic risk dubbed SYSTEM. Empirical results show that, due primarily to large banks, volatility in systemic risk increased in 2005 followed by a very large spike from late 2006 to 2008 related to the financial crisis. Comparative tests to the popular systemic risk measure SRISK reveal that SYSTEM: (1) provided earlier warning signals of the impending 2008-2009 crisis; and (2) indicated relatively lower systemic risk after 2012. Further tests show that SYSTEM and SRISK are useful in predicting industry-wide nonperforming loans and numbers of bank failures. We conclude that micro- and macro-prudential measures of bank condition are useful in assessing and predicting systemic risk.
Quantifying Systemic Risk
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Author : Joseph G. Haubrich
language : en
Publisher: University of Chicago Press
Release Date : 2013-01-24
Quantifying Systemic Risk written by Joseph G. Haubrich and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-24 with Business & Economics categories.
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Measuring Systemic Risk
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Author : Viral V. Acharya
language : en
Publisher:
Release Date : 2010
Measuring Systemic Risk written by Viral V. Acharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We present a simple model of systemic risk and show how each financial institution's contribution to systemic risk can be measured and priced. An institution's contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence. Institutions internalize their externality if they are “taxed” based on their SES. Through several examples, we demonstrate empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007-2009.
Systemic Risk History Measurement And Regulation
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Author : Yvonne Kreis
language : en
Publisher: World Scientific
Release Date : 2019-06-04
Systemic Risk History Measurement And Regulation written by Yvonne Kreis and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-04 with Business & Economics categories.
Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.
Measuring Systemic Risk In The Korean Banking Sector Via Dynamic Conditional Correlation Models
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Author : Jaeho Yun
language : en
Publisher:
Release Date : 2015
Measuring Systemic Risk In The Korean Banking Sector Via Dynamic Conditional Correlation Models written by Jaeho Yun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures - the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although these two systemic risk measures differ in defining the contributions to systemic risk, both are qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions across banks. Second, we find that systemic risk contributions are closely related to certain bank characteristic variables (e.g., VaR (value at risk), size and leverage ratio). However, there are differences between the cross-sectional and the time series dimensions in the effects of these variables. Last, using a threshold VAR model, we suggest an overall systemic risk measure - the aggregate MES - and its associated threshold value for use as an early warning indicator.
Measuring Systemic Risk Potential Across Banks In Asia
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Author : Jones Odei Mensah
language : en
Publisher:
Release Date : 2016
Measuring Systemic Risk Potential Across Banks In Asia written by Jones Odei Mensah and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The unusual severity of the recent global financial crisis has drawn much attention to systemic risk, particularly its measurement, and the institutions that contribute most to it. This paper provides an empirical examination of the systemic risk potential among banking institutions in Asia using CoVaR and Granger causality network approaches. The empirical evidence for a potential systemic crisis among Asia banks is ambiguous. The analysis reveals that the degree of interconnectedness has general gone up among banks in Asia. Nevertheless, the causal network among the banks has become less dense after the global financial crisis in 2007-2009. Banks from developed Asia economies generally rank higher compared to those from emerging market counterparts. Finally, we find that the greatest contributors to systemic risk are not necessarily large banks.