Global systemic risk measures and their forecasting power for systemic events
DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Grundke, Peter | |
dc.contributor.author | Tuchscherer, Michael | |
dc.date.accessioned | 2021-12-23T16:02:37Z | - |
dc.date.available | 2021-12-23T16:02:37Z | - |
dc.date.issued | 2019 | |
dc.identifier.issn | 1351847X | |
dc.identifier.uri | https://osnascholar.ub.uni-osnabrueck.de/handle/unios/5523 | - |
dc.description.abstract | Since the financial crisis of 2007-2009, many market-based systemic risk measures have been proposed. Prominent examples are MES, SRISK or Delta CoVaR. Based on a simulation study in an extended banking network model that incorporates several sources of systemic risk, we analyze how well these systemic risk measures perform in indicating the risk of a systemic event. For this analysis, the systemic risk measures of the banks that default and whose default is followed by a systemic event are compared with the systemic risk measures of those defaulting banks for which no subsequent systemic event can be observed. Within the simulation study, we find that many bank-individual systemic risk measures are statistically significant in explaining the likelihood of a systemic event after a bank's default. However, the economic significance of the bank-individual systemic risk measures is relatively low. | |
dc.description.sponsorship | Frankfurt Institute of Risk Management and Regulation; Financial support of the Frankfurt Institute of Risk Management and Regulation is gratefully acknowledged. | |
dc.language.iso | en | |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | |
dc.relation.ispartof | EUROPEAN JOURNAL OF FINANCE | |
dc.subject | Banking network model | |
dc.subject | Business & Economics | |
dc.subject | Business, Finance | |
dc.subject | CAPITAL SHORTFALL | |
dc.subject | CONTAGION | |
dc.subject | financial crisis | |
dc.subject | FINANCIAL INSTITUTIONS | |
dc.subject | MODEL | |
dc.subject | NETWORK STRUCTURE | |
dc.subject | systemic risk measures | |
dc.title | Global systemic risk measures and their forecasting power for systemic events | |
dc.type | journal article | |
dc.identifier.doi | 10.1080/1351847X.2018.1509102 | |
dc.identifier.isi | ISI:000451608700001 | |
dc.description.volume | 25 | |
dc.description.issue | 3 | |
dc.description.startpage | 205 | |
dc.description.endpage | 233 | |
dc.identifier.eissn | 14664364 | |
dc.publisher.place | 2-4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXON, ENGLAND | |
dcterms.isPartOf.abbreviation | Eur. J. Financ. | |
crisitem.author.dept | FB 09 - Wirtschaftswissenschaften | - |
crisitem.author.deptid | fb09 | - |
crisitem.author.parentorg | Universität Osnabrück | - |
crisitem.author.netid | GrPe882 | - |
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geprüft am 05.05.2024