Essays about: "Too-big-to-fail"

Showing result 1 - 5 of 12 essays containing the word Too-big-to-fail.

  1. 1. A Quantitative Evaluation of Systemic Risk in the European Banking Sector

    University essay from Göteborgs universitet/Graduate School

    Author : Jimmy Andersson; Anders Svernling; [2020-07-07]
    Keywords : Systemic risk measures; Systemic risk contribution; European banking supervision; Risk rankings;

    Abstract : 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

  3. 2. The influence of consolidation and internationalization on systemic risk in the financial sector

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Rinke Bakker; [2018]
    Keywords : Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation;

    Abstract : This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. READ MORE

  4. 3. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Gustavsson; [2017]
    Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Abstract : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. READ MORE

  5. 4. Valuation of Contingent Convertible Bonds

    University essay from KTH/Matematisk statistik

    Author : Alexander Back; William Keith; [2016]
    Keywords : Contingent Convertible Bonds; Hybrid Capital; Capital Structure; Capital Adequacy Regulation; Basel III; Risk-NeutralValuation;

    Abstract : Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. READ MORE

  6. 5. Are Banks in Switzerland Too-Big-To-Fail?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Aleksandra Mraovic; Qian Zhang; [2014]
    Keywords : Too-big-to-fail; Credit Default Swaps; CreditGrades model; Structural model; Business and Economics;

    Abstract : Too-big-to-fail has been a subject of controversy and has gained much attention in the course of the sub-prime financial crisis 2007-2009. Subjects related under this topic for instance are usually about the excessive risk taken by the government, and moral hazard. READ MORE