Zobrazeno 1 - 10
of 760
pro vyhledávání: '"CoVaR"'
Autor:
Lawrence Mashimbye, Ashenafi B. Fanta
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 27, Iss 1, Pp e1-e11 (2024)
Background: Systemic risk studies in the coronavirus disease 2019 (COVID-19) period focus mostly on the banking sector. Regulators however, yearn for data on the contribution of shadow banking to systemic risk during the pandemic. Aim: The primary g
Externí odkaz:
https://doaj.org/article/cfe66028e7ff4eb5aba2c41665334522
Publikováno v:
Enfoque, Vol 43, Iss 2 (2024)
Objetivo: Este trabalho analisa a contribuição em risco das instituições bancárias ao risco do mercado acionário brasileiro, antes e após terem sofrido aquisição. Método: Utilizou-se o modelo CoVaR, desenvolvido por Adrian e Brunnermeier (2
Externí odkaz:
https://doaj.org/article/2bd3a7758d4344cd8c8692d767da2ab8
Autor:
Jules Clement Mba
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-36 (2024)
Abstract This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across five allocation st
Externí odkaz:
https://doaj.org/article/254d611137134b718365cc5eef230d82
Akademický článek
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Publikováno v:
NUML International Journal of Business & Management, Vol 18, Iss 2 (2023)
This paper quantifies the systemic importance of non-financial firms by assessing their contribution and vulnerability to systemic shocks. We apply two firm-specific measures, namely Delta CoVaR (ΔCoVaR) and Marginal Expected Shortfall (MES), to eva
Externí odkaz:
https://doaj.org/article/4fe41e8787cf4bc4932aac8dd5106af9
Publikováno v:
Cogent Economics & Finance, Vol 11, Iss 1 (2023)
AbstractThe literature is unsettled on the simultaneous existence of Competition-Stability and Competition-Fragility phenomena in the banking system. Our study has extended the debate where we have incorporated accounting-based information along with
Externí odkaz:
https://doaj.org/article/0943d8eca4bb453287f98214fdad5af6
Publikováno v:
Financial Innovation, Vol 9, Iss 1, Pp 1-27 (2023)
Abstract This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East a
Externí odkaz:
https://doaj.org/article/dd32fb5a1ae64163b6c9c5727aa878da
Publikováno v:
Risks, Vol 12, Iss 3, p 56 (2024)
Systemic risk refers to the potential for a disruption in one part of a financial system to trigger a cascade of adverse effects, impacting the functioning of the system. Despite the progress on novel systemic risk measures, research on dynamics of s
Externí odkaz:
https://doaj.org/article/90b11f3e551b4b9a9a8ed834929f3b98
Publikováno v:
International Journal of Business, Economics, and Social Development, Vol 3, Iss 4, Pp 181-188 (2022)
When investing, investors tend to only pay attention to the Risk of the value owned by an individual stock (Value at Risk) when there is a risk of another, namely systemic Risk. Systemic Risk is the Risk that has the overall effect on the Risk of ano
Externí odkaz:
https://doaj.org/article/f25ab8d4ae1544ddafd0909ad06f3c0c
Akademický článek
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