Systemic Risk

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
(Contribution of SCOR experts in an external publication) Risk diversification is the basis of insurance and investment.…
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Why Insurance in General and Reinsurance in Particular are not Systemic
(Contribution from a SCOR expert in an external publication)
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Regulating Systemic Risk Through Transparency: Tradeoffs in Making Data Public
Public or partial disclosure of financial data is a key element in the design of a new…
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Vulnerable Banks
When a bank experiences an adverse shock to its equity capital, one way to return to target…
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Inequality, Tax Avoidance, and Financial Instability
We model the link between inequality, lack of political commitment, and excessive risk taking. If politicians cannot…
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The Global Financial Crisis of 2007‐2009, driven by mortgage loans and facilitated by nearly every stakeholder in…
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This report endeavours to shed light precisely on the question of whether the alleged procyclical behaviour could…
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The report consists of two parts – the standard part and the thematic article section. The standard…
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This chapter describes major insurance sector developments over the past decade and assesses changes in the systemic…
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This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the…
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This report is the synthesis of the analysis of the ESRB Insurance Expert Group on systemic risks…
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The literature generally agrees that the traditional insurance sector is not a source of systemic risk, and…
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A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability…
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I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result…
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Measuring and monitoring tail risk has important implications to financial contagion and systemic risk. This paper analyzes…
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Modern financial systems exhibit a high degree of interdependence making it difficult in predicting. This has raise…
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We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance…
As exemplified by the dramatic failure of AIG, insurance companies and their affiliates played a central role…
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We model business relationships exemplified for a (re)insurance market by a bipartite graph which determines the sharing…
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In the aftermath of the 2007/2008 banking crisis, a significant number of reforms have been introduced by…
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This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation.…
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The increased role of financial institutions in the economy leads to a need to determine those that…
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The Procyclicality Working Group defined procyclicality as follows:First, in the short term, as the tendency to invest…
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Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral…
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Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral…
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This paper reviews the extant research on systemic risk in the insurance sector and outlines potential new…
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In mid-2013, three years after the Dodd-Frank Act’s passage, American International Group Inc. and Prudential Financial Inc.…
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We revisit the link between bailouts and bank risk taking. The expectation of government support to failing…
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AIG’s designation as a systemically important financial institution (SIFI) happened recently, yet our relationship with the Federal…
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FSB's list of global systemically important insurers Financial Stability Board (FSB)
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Are some insurers relevant for the stability of the financial system? And if yes, what firm fundamentals…
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This paper is the first to examine the effects of consolidation in the international insurance industry on…
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The combination of short-term liquidity requirements in the banking industry (due to the new regulations), and significant…
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The aim of this paper is to elaborate on the characteristics and management of variable annuities and…
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This paper analyzes the equity risk module of Solvency II, the new regulatory framework in the European…
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In the wake of the global financial crisis of 2008, regulators recognized that there was an urgent…
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Risk‐based financial supervision is different for Banking and Insurance. Business models are different, risks are different and…
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Theoretically, insurance should be beneficial to society. But in practice, insurance systems may become dysfunctional, creating an…
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• The recent financial crisis has undermined the widely held belief that the existing global regulatory and…
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The final reports of seven technical committees comparing certain aspects of the insurance supervisory regimes in the…
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This paper is a sequel to the IAIS policy paper Insurance and Financial Stability1 (IFS) issued in…
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Public Consultation Document The International Association of Insurance Supervisors (IAIS) has developed an assessment methodology to identify…
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During the past decade many insurance solvency standards have introduced a requirement to use premium liabilities and…
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This report focuses on mechanisms and financial and economic aspects of resolution in insurance. Covering the processes…
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This study gives an overview of the insurance market in Central, Eastern and Southeastern Europe (CESEE) in…
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We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of…
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We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them…
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This paper presents a supervisory perspective on the (re)insurance sector and on financial stability issues. It analyses…
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This report addresses two fundamental areas that are currently occupying policy-makers' and regulators' agenda: in Part I…
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In this paper we assess the impact of the financial crisis on insurance markets and the role…
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This paper examines the potential for the U.S. insurance industry to cause systemic risk events that spill…
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While systemic risk—the risk of wholesale failure of banks and other financial institutions—is generally considered to be…
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The present contribution aims to develop an independent and differentiated view of systemic risks in the insurance…
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This study, which arose under the OeNB’s expanded financial stability mandate, provides the reasoning for an integrated…
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The purpose of this note is to identify challenges which insurance regulators face, by providing further input…
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The bursting of the housing bubble and resulting financial crisis have been followed by the worst economic…
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This paper discusses the key sources of vulnerabilities for pension plans and insurance companies in light of…
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Abstracting from short-term developments, the reinsurance industry faces several major challenges in coming years. One is the…
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The insurance industry is faced with many different kinds of risks: insurance-specific risks on one hand, and…
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This paper explores insurance as a source of financial system vulnerability. It provides a brief overview of…
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This article investigates empirically the connection between deposit insurance and bank failure. Today, virtually all banks are…
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Prior to the 2007-9 financial crisis, regulations addressing risk taking in the financial system were woefully inadequate.…
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The banking system is highly interconnected and these connections can be conveniently represented as an interbank network.…
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We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk.…
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Stress testing is used to determine the stability or the resilience of a given financial institution by…
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This updated Progress report on implementation of the Basel regulatory framework provides a high-level view of Basel…
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The recent turmoil in emerging markets has shifted attention to the vulnerability of the developed world to…
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The empirical literature on systemic banking crises (SBCs) has shown that SBCs are rare events that break…
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This paper presents a new approach to randomly generate interbank networks while overcoming shortcomings in the availability…
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In this paper and the associated online database, we provide new data and measures of bank regulatory…
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The financial crisis that began in 2007 revealed that many banks, including global systemically important banks (G-SIBs),…
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Building on previous works on business fluctuations, we model the propagation of financial distress in a network…
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An individual bank can put the whole banking system at risk if its losses in response to…
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We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks…
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We update the widely used banking crises database by Laeven and Valencia (2008, 2010) with new information…
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According to the draft of the German Financial Stability Act, the Bundesbank would be given a mandate…
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May 2011 was a very bad month for UK banks. In the previous month, a long-running legal…
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When a bank experiences an adverse shock to its equity capital, one way to return to target…
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We propose a novel mechanism to facilitate understanding of systemic risk in financial markets. The literature on…
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The global imbalance explanation of the financial crisis of 2007-09 argues that the demand for riskless assets…
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Very low policy rates as well as the substantial redesign of rules and supervisory institutions have changed…
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In a shadow insurance transaction, a life insurer purchases reinsurance from an affiliated company that is licensed…
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Liabilities ceded by life insurers to shadow reinsurers (i.e., less regulated and unrated off-balance-sheet entities) grew from…
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In an earlier article, I argued that shadow banking — the provision of financial services and products…
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The October 2014 Global Financial Stability Report (GFSR) finds that six years after the start of the…
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This essay argues that at least some of the financial stability concerns associated with shadow banking can…
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Banks are subject to capital requirements because their privately optimal leverage is higher than the socially optimal…
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This paper presents an accounting framework for measuring the sources and uses of short-term funding in the…
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This paper explores financial stability policies for the shadow banking system. I tie policy options to economic…
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• The rapid growth of the market-based financial system since the mid-1980s has changed the nature of…
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Insurance companies use shadow insurance to shift blocks of insurance policy claims to special entities — often…
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La crise des subprimes a révélé l’existence d’un système financier parallèle ou de l’ombre – d’où la…
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Faced with the challenges raised by Shadow banking for financial stability, this article deals with two major…
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We provide an overview of the rapidly evolving literature on shadow credit intermediation. The shadow banking system…
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Banks have been lowering their high pre-crisis leverage levels and are preparing for stricter regulatory capital requirements,…
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Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, in this…
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Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, systemic events…
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Cet article accompagne celui de Kupiec (2015) en offrant une vision canadienne des nouvelles mesures réglementaires en…
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Although “too big to fail” (TBTF) has been a longstanding policy issue, it was highlighted by the…
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When Lehman Brothers filed for bankruptcy on September 15, 2008, it was the largest such filing in…
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Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides…
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This paper argues that the extent of financial contagion exhibits a form of phase transition: as long…
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Cyber attacks have the potential to pose systemic risk by disrupting the business operations of key participants…
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In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk…
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In the field of risk management, scholars began to bring together the quantitative methodologies with the banking…
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We test for the presence of a systematic tail risk premium in the cross-section of expected returns…
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This work uses the stocks of the 197 largest companies in the world, in terms of market…
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This CPB Policy Brief develops a simple dynamic framework for assessing the sustainability of public finances over…
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Report of the Financial Stability Board to the G-20.    
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The European financial system continues to face a range of interrelated, cross-sectoral risks. These risks necessitate a…
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Do catastrophe bonds increase or decrease the exposure and contribution to systemic risk of issuing insurance companies?…
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La cartographie 2013 des risques identifiés par l’AMF analyse, comme chaque année, les faits saillants relevés en…
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How can policymakers promote effective cooperation between two closely related financial sector policies? This Staff Discussion Note…
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Foreign currency loans to the unhedged non-banking sector are remarkably prevalent in Europe and create a significant…
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Structural constraints on banks proposed by a number of countries aim to address the too-important-to-fail problem by…
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The Joint Committee of the European Supervisory Authorities (Joint Committee) has published today its first Report on…
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We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a…
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A large body of evidence points to misaligned incentives as having a key role in the run-up…
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I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several…
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Large-scale government support of the financial institutions deemed too big or too important to fail during the…
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This paper discusses the contributions of financial entities to a global reserve from a regulatory perspective. We…
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The paper analyses the transmission of liquidity shocks and risk shocks to global financialmarkets. Using a Global…
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We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual…
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Crisis experience has shown that as the financial intermediation chain lengthens, it becomes complicated to assess the…
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Dr. Stefan Thurner’s report analyses the development, buildup and unfolding of financial market crashes using a dynamic…
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We develop a model where financial institutions swap projects in order to diversify their individual risk. This…
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We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and…
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How did problems in a relatively small portion of the home mortgage market trigger the most severe…
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Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial…
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Financial networks have shown to be important in understanding systemic events in credit markets. In this paper,…
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In this paper, I develop a systemic risk measure derived from investor sentiment that has predictive power…
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We model business relationships exemplified for a (re)insurance market by a bipartite graph which determines the sharing…
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CoVaR (Conditional Value-at-Risk) is a risk measure proposed by Adrian and Brunnermeier (2011) which is able to…
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This paper introduces a model of endogenous network formation and systemic risk. In it, strategic agents form…
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This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which institutions…
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We consider the problem of risk diversification in complex financial networks, where nodes are financial actors and…
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In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density…
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Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept…
The banking crisis has made it obvious that regulators have to take a holistic approach to the…
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Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the…
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In the current crisis, credit risk not only evolved from a financial institution's fundamentals but also from…
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The purpose of this paper is to provide actuaries with the background to address conditions and tools…
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As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures…
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Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the…
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Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the…
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Since the 2007 Financial Crisis, regulators have been very interested in modeling and measuring systemic risk in…
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We propose a theoretical and empirical comparison of the most popular systemic risk measures. To do so,…
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We propose a simple network–based methodology for ranking systemically importantfinancial institutions. We view the risks of firms…
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We develop a theory of financial intermediary leverage cycles in the context of a dynamic model of…
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We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk…
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Building on economics literature [1, 11, 22] that described the mechanisms of contagion in the recent crisis,…
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This paper proposes an empirical methodology to measure systemic risk. We associate the systemic risk of a…
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We develop a measure of systemic importance that accounts for the extent to which a bank propagates…
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We present an economic model of systemic risk and show that each financial institution's contribution to systemic…
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Financial surveillance before the current crisis erupted suggested that problems were forming but the indications were too…
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In response to the G-20’s mandate to the Financial Stability Board (FSB) to promote Financial Stability within…
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EIOPA is part of the European System of Financial Supervision consisting of three European Supervisory Authorities and…
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The Group of Thirty, established in 1978, is a private, nonprofit, international body composed of very senior…
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The Financial Stability Report is published twice a year under the guidance of the interim Financial Policy Committee. It…
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The Financial Stability Oversight Council Annual Report fulfills the Congressional mandate to report on the activities of…
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Annual reports of the French Prudential Authority
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