Technical paper/Systemic risk
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.
Research on the dynamic early warning effect on the manufacturing industry from the perspective of systemic financial risks: evidence from the Chinese market
The authors explore how the China systemic financial risk composite index might contribute to the development of the Chinese manufacturing industry.
The future of risk and insurability in the era of systemic disruption, unpredictability and artificial intelligence
The authors demonstrate the fragile nature of traditional risk management techniques in the face of frequent high-impact shocks and advocate for a new approach that treats disruption as systemic rather than episodic.
A tale of two tail risks
This paper investigates the relationship between banking credit risk and the financial market jump hazard rate, finding the two risks to have opposing behaviors.
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors
This paper proposes a means to calibrate the correlation for paper issued by a collateralized debt obligation is included in a general credit portfolio of corporate bonds.
Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
This paper uses DebtRank, ΔCoVaR and MES to measure the systemic importance of banks, finding that DebtRank performs best from the perspectives of size and interconnectedness.
Does the asymmetric exponential power distribution improve systemic risk measurement?
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
The authors use a LASSO-VAR method and generalized variance decomposition to measure the systemic risk contagion effect of Chinese-listed banks.
Systemic operational risk in the Australian banking system: the Royal Commission
The author investigates the Royal Commission into Misconduct in the Banking, Superannuation and Financial Services Industry and its most prominent cases, as well as detailing examples of operational risk events that the commission did not cover.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Technology risk management in fintech: underlying mechanisms and challenges
This study focuses on the foundational technology of fintech to address the challenges posed by its specific form of risk.
Time-varying tail dependence networks of financial institutions
In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
A block-structured model for banking networks across multiple countries
This paper develops a block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries.
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
Structural systemic risk: evolution and main drivers
This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies.
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…