Measuring systemic risk: A risk management approach
A Lehar - Journal of Banking & Finance, 2005 - Elsevier
This paper proposes a new method to measure and monitor the risk in a banking system.
Standard tools that regulators require banks to use for their internal risk management are …
Standard tools that regulators require banks to use for their internal risk management are …
No pain, no gain? Effecting market discipline via reverse convertible debentures
MJ Flannery - … adequacy beyond Basel: Banking, securities, and …, 2005 - books.google.com
The deadweight costs of financial distress limit many firms' incentive to include a lot of (tax-
advantaged) debt in their capital structures. It is therefore puzzling that firms do not make …
advantaged) debt in their capital structures. It is therefore puzzling that firms do not make …
Using market information for banking system risk assessment
We propose a new method for the analysis of systemic stability of a banking system relying
mostly on market data. We model both asset correlations and interlinkages from interbank …
mostly on market data. We model both asset correlations and interlinkages from interbank …
[PDF][PDF] The impact of interest rate spread on bank profitability in Ghana
The study examines the effect of interest rate spread on the profitability of commercial banks
in Ghana. The study measured interest rate spread using net interest income (IntSp) and net …
in Ghana. The study measured interest rate spread using net interest income (IntSp) and net …
[HTML][HTML] Evaluation of European Deposit Insurance Scheme funding based on risk analysis
PG Fernández-Aguado, ET Martínez, RM Ruíz… - International Review of …, 2022 - Elsevier
We carry out a quantitative analysis of the financing measures proposed for the European
Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution …
Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution …
Systemically important banks: an analysis for the European banking system
In this paper we perform an empirical analysis to identify systemically important banks by a
few individual bank characteristics that are easy to observe in practice. This analysis builds …
few individual bank characteristics that are easy to observe in practice. This analysis builds …
The pricing of deposit insurance in the presence of systematic risk
SC Lee, CT Lin, MS Tsai - Journal of banking & finance, 2015 - Elsevier
Based on the Merton (1977) put option framework, we develop a deposit insurance pricing
model that incorporates asset correlations, a measurement for the systematic risk of a bank …
model that incorporates asset correlations, a measurement for the systematic risk of a bank …
The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures
YS Kao, HL Chuang, YC Ku - The North American Journal of Economics …, 2020 - Elsevier
The purpose of this study is to examine the relationships between return and trading volume
as well as between return volatility and trading volume by analyzing the asymmetric …
as well as between return volatility and trading volume by analyzing the asymmetric …
Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk
A multiperiod model is developed to measure the costs posed to the guaranty fund in a
setting that incorporates risk-based capital regulations, interest rate risk and the possibility of …
setting that incorporates risk-based capital regulations, interest rate risk and the possibility of …
Deposit insurance pricing under GARCH
H Liu, R Li, J Yuan - Finance Research Letters, 2018 - Elsevier
As homoscedasticity assumption of asset return is questionable, traditional deposit
insurance pricing analysis based on the Black-Scholes model always performs poorly. This …
insurance pricing analysis based on the Black-Scholes model always performs poorly. This …