Zobrazeno 1 - 10
of 105
pro vyhledávání: '"Giovanni Urga"'
In this paper, we investigate China’s changing financial interconnectedness via the presence of Granger-causality between firm level factors (Leverage, Market To Book Value and Returns) and systemic risk measures (∆CoVaR, MES, and SRISK). The ana
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::751084d52a5f26f301fec55619bf9edb
https://openaccess.city.ac.uk/id/eprint/28071/1/CPU_RR1.pdf
https://openaccess.city.ac.uk/id/eprint/28071/1/CPU_RR1.pdf
Autor:
Lars Spreng, Giovanni Urga
In this paper, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::047eb26fd75d01adbf4a1b37785e3253
http://hdl.handle.net/10446/226329
http://hdl.handle.net/10446/226329
We study how the characteristics of different financial institutions relate to systemic risk using the CoVaR measure of Adrian and Brunnermeier (2016). We contrast traditional banks with shadow entities, such as Money Market Funds and Finance Service
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::810bcc53ee63b754c5d64cf3c14e0e80
https://hdl.handle.net/10807/230980
https://hdl.handle.net/10807/230980
Publikováno v:
International Review of Economics & Finance. 62:20-40
We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed65309ca3909111a5cad2f765e2858e
https://doi.org/10.1016/j.iref.2019.02.014
https://doi.org/10.1016/j.iref.2019.02.014
This paper focuses on the comparison of homogeneous and heterogeneous panel data estimators, including partially heterogeneous ones, in presence of cross-sectional dependence generated by common factors and spatial error dependence. Our specification
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80a86df40fde50259043cfa6c406a782
https://openaccess.city.ac.uk/id/eprint/26159/1/heterogeneity.pdf
https://openaccess.city.ac.uk/id/eprint/26159/1/heterogeneity.pdf
We introduce backtesting methods to assess Value-at-Risk (VaR) and expected shortfall (ES) that require no more than desktop VaR violations as inputs. Maintaining an integrated VaR perspective, our methodology relies on multiple testing to combine ev
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::54522556bfdfdb62f5e52b9b8057771f
https://openaccess.city.ac.uk/id/eprint/24864/1/KLU_August_31_2020.pdf
https://openaccess.city.ac.uk/id/eprint/24864/1/KLU_August_31_2020.pdf
Publikováno v:
SSRN Electronic Journal.
In the aftermath of the 2008 financial crisis, the development of shadow banking has been seen as one of the determinants for the increase of system risk. While diversity within the shadow banking system has been largely overlooked, in this paper we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7331bffa631d546cac774dffe0c43ede
https://doi.org/10.2139/ssrn.3909992
https://doi.org/10.2139/ssrn.3909992
Publikováno v:
Journal of Financial Stability. 60:101018
We empirically evaluate how accounting and financial variables affect the level of systemic risk in traditional and shadow banks, and in real estate finance services in China over the period 2006-2019. We also conduct some stability analysis by evalu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5db01a50dcfbe4d858f55dc32994888c
https://doi.org/10.1016/j.jfs.2022.101018
https://doi.org/10.1016/j.jfs.2022.101018