Artikel
An equilibrium-based measure of systemic risk
This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we perform a comprehensive empirical study of this loss beta measure and document all TBTF banks from 2002 to 2019. Our empirical findings suggest a significant number of too-big-to-fail banks in 2018-2019.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 9 ; Pages: 1-24 ; Basel: MDPI
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
systemic risk
capital insurance
loss beta
too big to fail
- Event
-
Geistige Schöpfung
- (who)
-
Ivanov, Katerina
Schulte, James
Tian, Weidong
Tseng, Kevin
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2021
- DOI
-
doi:10.3390/jrfm14090414
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ivanov, Katerina
- Schulte, James
- Tian, Weidong
- Tseng, Kevin
- MDPI
Time of origin
- 2021
Other Objects (12)
Measuring and allocating systemic risk
Systemic risk and insurance regulation
Systemic risk measure
Systemic Illiquidity Noise-based measure: A solution for systemic liquidity monitoring in frontier and emerging markets
Stress testing and systemic risk measures using elliptical conditional multivariate probabilities
Risk management under Omega measure
Systemic risk indicators based on nonlinear PolyModel
Diversification and systemic risk: A financial network perspective
Risk-sharing and the creation of systemic risk
Systemic risk in the European Union: A network approach to banks' sovereign debt exposures
The time-spatial dimension of eurozone banking systemic risk
Agency equilibrium
Measuring and allocating systemic risk
Systemic risk and insurance regulation
Systemic risk measure
Systemic Illiquidity Noise-based measure: A solution for systemic liquidity monitoring in frontier and emerging markets
Stress testing and systemic risk measures using elliptical conditional multivariate probabilities
Risk management under Omega measure
Systemic risk indicators based on nonlinear PolyModel
Diversification and systemic risk: A financial network perspective
Risk-sharing and the creation of systemic risk
Systemic risk in the European Union: A network approach to banks' sovereign debt exposures
The time-spatial dimension of eurozone banking systemic risk
Agency equilibrium
Measuring and allocating systemic risk
Systemic risk and insurance regulation
Systemic risk measure
Systemic Illiquidity Noise-based measure: A solution for systemic liquidity monitoring in frontier and emerging markets
Stress testing and systemic risk measures using elliptical conditional multivariate probabilities
Risk management under Omega measure
Systemic risk indicators based on nonlinear PolyModel
Diversification and systemic risk: A financial network perspective
Risk-sharing and the creation of systemic risk
Systemic risk in the European Union: A network approach to banks' sovereign debt exposures
The time-spatial dimension of eurozone banking systemic risk