Three Essays on Bank Risks
Author | : Jian Hu |
Publisher | : |
Total Pages | : 324 |
Release | : 1999 |
Genre | : |
ISBN | : |
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Author | : Jian Hu |
Publisher | : |
Total Pages | : 324 |
Release | : 1999 |
Genre | : |
ISBN | : |
Author | : Marlene Karl-Titze |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Author | : Amir Hossein Khalilzadeh Naghneh |
Publisher | : |
Total Pages | : 151 |
Release | : 2018 |
Genre | : |
ISBN | : |
Thèse. HEC. 2018
Author | : Razvan Eduard Vlahu |
Publisher | : |
Total Pages | : 210 |
Release | : 2011 |
Genre | : |
ISBN | : 9789036102285 |
Author | : Sylvain Benoit |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
Genre | : |
ISBN | : |
Systemic risk has played a key role in the propagation of the last global financial crisis. A large number ofsystemic risk measures have been developed to quantify the contribution of a financial institution to thesystem-wide risk. However, numerous questions about their abilities to identify Systemically ImportantFinancial Institutions (SIFIs) have been raised since systemic risk has multiple facets, and some of themare difficult to gauge, such as the commonalities across financial institutions.The main goal of this dissertation in finance is thus (i) to propose an empirical solution to identifydomestic SIFIs, (ii) to compare theoretically and empirically different systemic risk measures, and (iii)to measure changes in banks' risk exposures.First, chapter 1 offers an adjustment of three market-based systemic risk measures, designed in a globalframework, to identify domestic SIFIs. Second, chapter 2 introduces a common framework in whichseveral systemic risk measures are expressed and compared. It is theoretically shown that those systemicrisk measures can be expressed as function of traditional risk measures. The empirical application confirmsthese findings and shows that these measures fall short in capturing the multifaceted nature of systemicrisk. Third, chapter 3 proposes the Factor Implied Risk Exposures (FIRE) methodology which breaksdown a change in risk disclosure into a market volatility component and a bank-specific risk exposurecomponent. This chapter empirically illustrates that changes in risk exposures are positively correlatedacross banks, which is consistent with banks exhibiting commonality in trading.
Author | : Cheong-Seok Chang |
Publisher | : |
Total Pages | : 234 |
Release | : 2006 |
Genre | : Credit analysis |
ISBN | : |
Author | : |
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Total Pages | : |
Release | : 2008 |
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Author | : Demet Cimen-Gulsen |
Publisher | : |
Total Pages | : 11 |
Release | : 2018 |
Genre | : Banks and banking |
ISBN | : 9780438718746 |
In the aftermath of the recent financial crisis of 2008, policymakers and researches has stirred a movement of economic researches on the determinants, impacts, and control of the crisis. There has been limited work on the banks' size and risk relationship and the determinants of systemic risk contribution. This dissertation investigates these two sub-areas to help strengthen future financial sector risk and factors behind the deflation in Europe during 2014. This dissertation contains three chapters. First paper titled "Do Big Banks Take on More Risks? Some Evidence on Whether Bank Size and Risk Relationship Matters". I examine the relationship between the bank size-structure and three major banks risks: liquidity risk, credit risk, and market risk. I use pro-forma based data sample of virtually largest fifty US commercial banks during the period 1994--2013. The results show that institutions with higher risk exposure have a larger size, less capital, and greater reliance on purchased funds. Banks related to significantly reduced bank risks are characterized by a smaller asset size and strong depository funding. Overall, the banking system has not finished the post-crisis consolidation. These results provide new insights into the understanding of bank risks and serve as an underpinning for recent regulatory efforts aimed at strengthening banks (joint) risk management of liquidity, credit, and market risks. In the second paper, titled "Network Topology and Systemic Risk Contribution: An Empirical Evaluation", I ask how the network topology of financial institutions affects their systemic risk contribution. I deploy DCC-GARCH model to construct network topology and SRISK and LRMES to measure systemic risk contributions. I classify financial firms into receivers, drivers, and key players. Moreover, I analyze network impact on systemic risk contribution based on their industry groups: Depositories, Insurance, Broker-Dealers, and Others. In the final paper, titled "Identifying Second Round Effects: Food and Energy Prices and Core Inflation Dynamics" joint with Weicheng Lian, we seek to explore the factors behind low inflation rates during 2014. We consider the role of unprocessed food and energy prices on core inflation using a panel Vector Autoregressive Regression estimated among 29 European economies between 1999 and 2014, we find evidence consistent with second-round effects: (i) unprocessed food and energy price shocks both have weaker and less persistent impact on core inflation in countries with more anchored inflation expectation, (ii) after we shut down changes in inflation expectations, both unprocessed food, and energy price shocks have weaker and less persistent impact on core inflation, and in this case, result (i) disappears i.e., the impacts become almost the same between countries with more anchored and those with less anchored inflation expectations.
Author | : Sungkyu Kwak |
Publisher | : |
Total Pages | : 428 |
Release | : 2001 |
Genre | : |
ISBN | : |
Author | : Jiaxuan Wang |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : |
ISBN | : |