Download or read book Three Essays on Bank Risks written by Jian Hu and published by . This book was released on 2002 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Banking Risk written by Marlene Karl-Titze and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Bank Risks written by Jian Hu and published by . This book was released on 1999 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Bank Systemic Risk written by Amir Hossein Khalilzadeh Naghneh and published by . This book was released on 2018 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thèse. HEC. 2018
Download or read book Three Essays on Banking written by Razvan Eduard Vlahu and published by . This book was released on 2011 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Systemic Risk written by Sylvain Benoit and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Ottobeuren Benediktiner Reichsabtei St Theodor und Alexander written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Banking written by Jiaxuan Wang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Policies Towards Risk written by Cheong-Seok Chang and published by . This book was released on 2006 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Sovereign Credit Risk written by Tingwei Wang and published by . This book was released on 2016 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies sovereign credit risk and its impact on banks and industrial firms. The first essay shows that bank credit risk is linked to sovereign credit risk through common exposure to systemic risk instead of implicit bailout or excessive holding of home country bonds. In the second essay, I build a trade-off model of capital structure which predicts negative correlation between optimal leverage of big firms and sovereign credit risk due to implicit bailout. The model prediction is confirmed by empirical evidence from firms in the euro area. The third essay provides a joint pricing model of CDS and bond to disentangle the default and liquidity component in CDS spread and bond yield spread. I find a remarkable liquidity component in the CDS spreads of peripheral euro area countries and conclude that ignoring CDS illiquidity leads to overestimation of default component in bond yield.
Download or read book Three Essays on Banking Risks and Inflation Dynamics written by Demet Cimen-Gulsen and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Three Essays on Liquidity Risk written by and published by . This book was released on 2015 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk is inherent to the very nature of the banking activity which is to transform short term liabilities into long term assets. That is why liquidity crises are in one way or another implied in most financial crisis episodes. This thesis contributes to the understanding of how liquidity risk and liquidity crises in the banking and financial sector affect the allocation of resources and the functioning of the economy, and also discusses what could be the best institutional arrangements to share liquidity risk across agents and the best economic policies to avoid liquidity crises. It consists of three chapters focusing on diverse aspects of this topic. The first chapter, co-authored with Katerina-Chara Papioti, provides a new way to measure liquidity risk in the financial sector using the bidding behavior of banks in the bond auctions conducted by central banks. The second chapter examines risk-sharing between agents prone to liquidity shocks obtained through generational and intergenerational coalitions and asset trading in overlapping generation economies. Various institutional arrangements including financial intermediaries, stock markets and government interventions are studied in order to compare their risk sharing performance and optimality. The third chapter examines the international dimension of the liquidity issue and studies theoretically what combination of exchange rate regime and central bank policy is less vulnerable to a combined currency and banking crisis focusing on the sudden stop of capital flows as an underlying source of instability.
Download or read book Three Essays in Monetary Theory written by Ludwig Van den Hauwe and published by BoD – Books on Demand. This book was released on 2009 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent events in international financial markets have revived the scientific interest in conceivable institutional alternatives to prevailing monetary arrangements. In the essays reprinted in this book, the author critically examines some of the more influential arguments which have been made in favour of decentralization in banking.
Download or read book Three Essays on the U S Banking Industry Evolution written by Shen Jin and published by . This book was released on 2013 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Banking and Finance written by Damien Olivier Klossner and published by . This book was released on 2019 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mots-clés de l'auteur: global games ; bank runs ; financial leverage ; liquidity ; incomplete markets ; risk sharing ; debt overhang ; monetary policy.
Download or read book Three Essays on Banking Deposit Insurance and Financial Crises written by Sungkyu Kwak and published by . This book was released on 2001 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Banking Crisis written by 許倖華 and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
