Essays about: "Systemically Important Banks"
Showing result 1 - 5 of 10 essays containing the words Systemically Important Banks.
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1. Capturing time variation within systemic risk estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE
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2. Networks of spillover effects to spot systemic risk in the banking industry: testing Granger causality in a high dimensional VAR model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this essay the evolution of global systemic risk is investigated by creating networks (and communities) of contagion among 88 banks that are deemed systemically important on a global level (particularly western economy). The contagion is defined by a Granger Causality relation between two individuals in the network, this is tested using the Post double selection method described in Margartitella et al. READ MORE
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3. A Quantitative Evaluation of Systemic Risk in the European Banking Sector
University essay from Göteborgs universitet/Graduate SchoolAbstract : This paper proposes a cross-section analysis of systemic risk in the European banking sector. The absence of a general definition of systemic risk makes it difficult to use a single, practically relevant model. READ MORE
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4. Comparing methods for identifying G-SIBs in Europe
University essay from Göteborgs universitet/Graduate SchoolAbstract : The extra loss absorbency requirement for global systemically important banks (G-SIBs) is one of the macroprudential reforms in Basel III aimed at lowering the systemic risk in the financial system. Systemic risk is difficult to define and measure and academics have proposed alternative ways to measure banks' systemic importance. READ MORE
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5. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. READ MORE
