Systemisches Risiko: verstehen und begrenzen
Ein besonderes Merkmal von Finanzmärkten im Vergleich zu Gütermärkten ist die starke Vernetzung von Forderungen innerhalb des Bankensektors. Die Architektur der Finanzmärkte ist dadurch während der letzten 15 Jahre nicht nur erheblich komplexer, sie ist auch für Extremereignisse anfälliger geworden. In dieser komplexen und stark verflochtenen Finanzwelt werden systemische Risiken zu einer anhaltenden Bedrohung für die Finanzmärkte, den ökonomischen Wohlstand und auch die politische Stabilität. Vor diesem Hintergrund ist es das Ziel von SAFE, den aktuellen Wissensstand zu systemischen Risiken zu erweitern und spezifische Empfehlungen für die Regulierung von Banken und Finanzmärkten zu entwickeln.
News zu diesem Thema
Forschungspapiere zum Systemischen Risiko
TEST-TEST |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | SAFE Working Paper No. 0 | 0 | ||
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study |
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 262 | 2019 | credit scoring; probability of default; small and medium enterprises; assetbacked securities |
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Systemic Risk Lab, Financial Markets | SAFE Working Paper No. 261 | 2019 | Mortgages, Energy Eciency, Credit Risk |
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study. Journal of Risk and Financial Management |
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | Systemic Risk Lab | Journal of Risk and Financial Management, 2019 | 2019 | credit scoring; probability of default; small and medium enterprises; asset-backed securities |
The Anatomy of the Euro Area Interest Rate Swap Market |
Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 255 | 2019 | OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging |
Paying for Market Liquidity: Competition and Incentives |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 247 | 2019 | High-Frequency Trading (HFT), Designated Market Makers (DMMs) Market Making, Adverse Selection, Liquidity Provision |
Interbank Networks and Backdoor Bailouts: Benefiting from Other Banks’ Government Guarantees |
Tim Eisert, Christian Eufinger | Law and Finance, Systemic Risk Lab | Management Science , 2019 | 2019 | bailout, cycle flows, cyclical liabilities, interbank network, leverage |
High-Dimensional Sparse Financial Networks through a Regularised Regression Model |
Mauro Bernardi, Michele Costola | Systemic Risk Lab | SAFE Working Paper No. 244 | 2019 | VAR estimation, Financial Networks, Bayesian inference, Sparsity, Spike-and-Slab prior, Stochastic Search Variable Selection, Expectation-Maximisation |
Structural Changes in Large Economic Datasets: A Nonparametric Homogeneity Test |
Roberto Casarin, Michele Costola | Systemic Risk Lab | Economics Letters, 2019 | 2019 | |
Asymmetry and Leverage in GARCH Models: A News Impact Curve Perspective |
Massimiliano Caporin, Michele Costola | Systemic Risk Lab | Applied Economics, 2019 | 2019 | |
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds |
Joost Driessen, Theo E. Nijman, Zorka Simon | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 238 | 2018 | Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy |
Pitfalls of Central Clearing in the Presence of Systematic Risk |
Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon | Systemic Risk Lab | SAFE Working Paper No. 235 | 2018 | Central Clearing, Counterparty Risk, Systematic Risk, OTC markets, Derivatives, Loss Sharing, Collateral, Margin |
Lighting up the Dark: Liquidity in the German Corporate Bond Market |
Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | Macro and Finance, Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 230 | 2018 | Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets |
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections |
Roberto Panzica | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 228 | 2018 | Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality |
Liquidity Provision: Normal Times vs Crashes |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Systemic Risk Lab, Data Center, Financial Markets | SAFE Working Paper No. 227 | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital |
Systemic Co-Jumps |
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Financial Markets, Systemic Risk Lab | Journal of Financial Economics, 2017 | 2017 | Jumps; Return predictability; Systemic events; Variance risk premium |
All Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation |
Edin Ibrocevic, Matthias Thiemann | Financial Intermediation, Systemic Risk Lab | SAFE Working Paper No. 214 | 2018 | macroprudential regulation, ideational shift, systemic risk, topic modelling, central bank policy |
Persistent Liquidity Shocks and Interbank Funding |
Marcel Bluhm | Financial Intermediation, Systemic Risk Lab | Journal of Financial Stability, 2018 | 2018 | Financial fragility, Interbank market, Liquidity, Maturity, Network |
The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective |
Zsuzsa R. Huszar, Zorka Simon | Systemic Risk Lab | SAFE Working Paper No. 215 | 2018 | |
Measuring Sovereign Contagion in Europe |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Financial Markets, Systemic Risk Lab | Journal of Financial Stability, 2018 | 2018 | |
Level and Slope of Volatility Smiles in Long-Run Risk Models |
Nicole Branger, Paulo Rodrigues, Christian Schlag | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 186 | 2017 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile |
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises |
Massimiliano Caporin, Luca Corazzini, Michele Costola | Financial Markets, Systemic Risk Lab | British Journal of Management, 2019 | 2019 | |
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question |
Mario Bellia, Giulio Girardi, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen | Systemic Risk Lab | SAFE Working Paper No. 193 | 2018 | Credit Default Swap (CDS), Central Counterparty Clearing House (CCP), European Market Infrastructure Regulation (EMIR), Sovereign |
On the (Ab)use of Omega? |
Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand B. Maillet | Systemic Risk Lab | Journal of Empirical Finance, 2018 | 2018 | Performance measure Omega Return distribution Risk Stochastic dominance |
P2P Lending versus Banks: Cream Skimming or Bottom Fishing? |
Loriana Pelizzon, Anjan Thakor, Calebe de Roure | Household Finance, Systemic Risk Lab | SAFE Working Paper No. 206 | 2018 | |
The Impact of Monetary Policy Interventions on the Insurance Industry |
Loriana Pelizzon, Matteo Sottocornola | Macro and Finance, Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 204 | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry |
Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market |
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | Financial Markets, Systemic Risk Lab | Quantitative Finance, 2018 | 2018 | Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market |
Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect |
Monica Billio, Michele Costola, Roberto Panzica, Loriana Pelizzon | Financial Intermediation, Systemic Risk Lab | Systemic Risk Tomography: Signals, Measurement and Transmission Channels (ISTE Press - Elsevier), 2016 | 2016 | systemic measures, connectedness measures, financial network, financial institutions, hedge funds, loss measures, quantile regressions, CoVaR, global network measures, local network measures, loss prediction, Settore SECS-P/05 - Econometria |
Portfolio Similarity and Asset Liquidation in the Insurance Industry |
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley | Systemic Risk Lab, Financial Intermediation | SAFE Working Paper No. 224 | 2018 | Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Com- panies, SIFI |
Level and Slope of Volatility Smiles in Long-Run Risk Models |
Nicole Branger, Paulo Rodrigues, Christian Schlag | Financial Markets, Systemic Risk Lab | Journal of Economic Dynamics and Control, 2018 | 2018 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile |
Coming Early to the Party |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 182 | 2017 | High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery |
Financial Bridges and Network Communities |
Roberto Casarin, Michele Costola, Erdem Yenerdag | Systemic Risk Lab | SAFE Working Paper No. 208 | 2018 | Systemic Risk; Financial Institutions; Network Communities; Financial Crises |
Central Bank-Driven Mispricing |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Financial Markets, Macro and Finance, Systemic Risk Lab | SAFE Working Paper No. 226 | 2018 | Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage |
Networks in Risk Spillovers: A Multivariate GARCH Perspective |
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon | Financial Intermediation, Systemic Risk Lab | SAFE Working Paper No. 225 | 2018 | spatial GARCH; network; risk spillover; nancial spillover |
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders |
Deyan Radev | Financial Intermediation | SAFE Working Paper No. 175 | 2017 | Commercial banks, global banks, wholesale shocks, solvency shocks, transmission, internal capital markets |
Social Centralization, Bank Integration and the Transmission of Lending Shocks |
Deyan Radev | Financial Intermediation | SAFE Working Paper No. 174 | 2017 | Global banks, social centralization, bank integration, shocks, transmission |
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil |
Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | Financial Markets, Financial Intermediation, Systemic Risk Lab | SAFE Working Paper No. 172 | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies |
Natural Disaster and Bank Stability: Evidence from the U.S. Financial System |
Felix Noth, Ulrich Schüwer | Financial Intermediation, Systemic Risk Lab | SAFE Working Paper No. 167 | 2017 | natural disasters, bank stability, non-performing assets, bank performance |
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification |
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 166 | 2016 | CAPM, volatility, network, interconnections, systematic risk |
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis |
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 151 | 2016 | Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. |
Systemic Co-Jumps |
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 149 | 2016 | Jumps, Return predictability, Systemic events, Variance Risk Premium |
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 144 | 2016 | High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. |
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets |
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 143 | 2016 | Dark Trading, Fragmentation, Anonymity, Immediacy |
Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century |
Tomaso Aste, Loriana Pelizzon, Nicolas Perony, Paolo Tasca | Financial Intermediation, Systemic Risk Lab | Banking Beyond Banks and Money: A Guide to Banking Services in the Twenty-First Century (Springer), 2016 | 2016 | |
Von mikro- zu makroprudenzieller Regulierung |
Mohamed Aldegwy, Matthias Thiemann | Macro and Finance | Die Innenwelt der Ökonomie: Wissen, Macht und Performativität in der Wirtschaftswissenschaft (Springer), 2016 | 2016 | Banking Regulation, Systemic Risk, Formalism, Equilibrium Thinking, Discourse, Citation Network Analysis |
Freedom of Contract and Financial Stability |
Brigitte Haar | Systemic Risk Lab, Law and Finance | European Business Organization Law Review, 2016 | 2016 | |
Insurance Activities and Systemic Risk |
Elia Berdin, Matteo Sottocornola | Systemic Risk Lab, Financial Intermediation | SAFE Working Paper No. 121 | 2015 | Systemic Risk, Insurance Activities, Systemically Important Financial Institutions |
Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks |
Marcel Bluhm | Financial Intermediation | SAFE Working Paper No. 117 | 2015 | Financial fragility, interbank market, liquidity, maturity, network model |
A Time Varying Performance Evaluation of Hedge Fund Strategies through Aggregation |
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon | Financial Intermediation, Systemic Risk Lab | Bankers, Markets and Investors, 2014 | 2014 | Extra performances, Hedge funds, Markov switching models, Financial crises |
Deciphering the Libor and Euribor Spreads during the Subprime Crisis |
Loriana Pelizzon, Domenico Sartore | Financial Intermediation, Systemic Risk Lab | North American Journal of Economics and Finance, 2013 | 2013 | Subprime crisis, Collateral, Liquidity, Unconventional monetary policy |
Bank Networks: Contagion, Systemic Risk and Prudential Policy |
Iñaki Aldasoro, Domenico Delli Gatti, Ester Faia | Macro and Finance | SAFE Working Paper No. 87 | 2015 | banking networks, centrality metrics, systemic risk |
How Special Are They? Targeting Systemic Risk by Regulating Shadow Banks |
Tobias Tröger | Financial Intermediation | Reshaping Markets Economic Governance, the Global Financial Crisis and Liberal Utopia (Cambridge University Press), 2016 | 2016 | shadow banking, regulatory arbitrage, prudential supervision |
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change |
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz | Systemic Risk Lab, Macro and Finance | SAFE Working Paper No. 92 | 2015 | Climate change economics, Carbon abatement, GDP growth |
Health Status and Portfolio Choice: Is Their Relationship Economically Relevant? |
Silvia Bressan, Noemi Pace, Loriana Pelizzon | Household Finance, Systemic Risk Lab | International Review of Financial Analysis, 2014 | 2014 | Household portfolios, Health status |
On the Impact of Leveraged Buyouts on Bank Systemic Risk |
Marcel Grupp | Law and Finance | SAFE Working Paper No. 101 | 2015 | Leveraged buyouts, syndicated loans, systemic risk |
Multiplex Interbank Networks and Systemic Importance: An Application to European Data |
Iñaki Aldasoro, Iván Alves | Macro and Finance | SAFE Working Paper No. 102 | 2015 | interbank networks, systemic importance, multiplex networks |
Assessing Systemic Fragility – A Probabilistic Perspective |
Deyan Radev | Financial Intermediation | SAFE Working Paper No. 70 | 2014 | Banking Stability, Financial Distress, Tail Risk, Contagion |
Equilibrium Asset Pricing in Directed Networks |
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | Financial Markets, Systemic Risk Lab | SAFE Working Paper No. 74 | 2014 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences |
Endogenous Banks’ Networks, Cascades and Systemic Risk |
Marcel Bluhm, Ester Faia, Jan Pieter Krahnen | Systemic Risk Lab, Macro and Finance | SAFE Working Paper No. 12 | 2013 | network formation, tâtonnement, contagion |
Interbank Network and Bank Bailouts: Insurance Mechanism for Non-Insured Creditors? |
Tim Eisert, Christian Eufinger | Systemic Risk Lab, Law and Finance | SAFE Working Paper No. 10 | 2013 | bailout, cycle flows, cyclical liabilities, interbank network, leverage |
Bank and Sovereign Debt Risk Connection |
Matthieu Darracq Pariès, Ester Faia, Diego Rodriguez Palenzuela | Systemic Risk Lab, Macro and Finance | SAFE Working Paper No. 7 | 2013 | liquidity risk, sovereign risk, capital regulations |
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets? |
Holger Kraft, Alexander Schmidt | Systemic Risk Lab, Financial Intermediation | SAFE Working Paper No. 25 | 2013 | Systemic risk, Value-at-risk, Equity options, Implied volatility |
Asset Pricing Under Uncertainty About Shock Propagation |
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag | Financial Markets | SAFE Working Paper No. 34 | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility |
Systemic Risk and Sovereign Debt in the Euro Area |
Deyan Radev | Systemic Risk Lab, Financial Intermediation | SAFE Working Paper No. 37 | 2013 | Sovereign debt, Sovereign default, Financial distress, Systemic risk, Contagion, Banking stability, Tail risk |
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk |
Marcel Bluhm, Ester Faia, Jan Pieter Krahnen | Systemic Risk Lab, Macro and Finance | SAFE Working Paper No. 46 | 2014 | Network formation, contagion, central banks' interventions |
European Financial Regulation – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration |
Brigitte Haar | Financial Intermediation, Systemic Risk Lab | The Oxford Handbook of Financial Regulation (Oxford University Press), 2014 | 2014 | Financial regulation, systemic risk, microprudential supervision, European Banking Authority, macroprudential supervision, European Systemic Risk Board, European Banking Union, Single Supervisory Mechanism |
Financial Incentives and Loan Officer Behavior: Multitasking and Allocation of Effort Under an Incomplete Contract |
Patrick Behr, Alejandro H. Drexler, Reint Gropp, Andre Guettler | Systemic Risk Lab, Financial Intermediation | SAFE Working Paper No. 62 | 2014 | Loan officer, incentives, monitoring, screening, loan origination |
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach |
Zeno Adams, Roland Füss, Reint Gropp | Systemic Risk Lab, Financial Intermediation | Journal of Financial and Quantitative Analysis, 2014 | 2014 | Risk spillovers, state-dependent sensitivity value-at-risk (SDSVaR), quantile regression, financial institutions, hedge funds |
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization |
Nicole Branger, Holger Kraft, Christoph Meinerding | Systemic Risk Lab, Financial Markets, Transparency Lab | Journal of Economic Dynamics and Control, 2014 | 2014 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes |
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets |
Marcel Bluhm, Jan Pieter Krahnen | Systemic Risk Lab, Macro and Finance | Journal of Financial Stability, 2014 | 2014 | systemic risk, systemic risk charge, macroprudential supervision, Shapley value, financial network |
Mutual Excitation in Eurozone Sovereign CDS |
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Systemic Risk Lab, Financial Markets, Macro and Finance | Journal of Econometrics, 2014 | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response |
Input-Output-Based Measures of Systemic Importance |
Iñaki Aldasoro, Ignazio Angeloni | Systemic Risk Lab, Macro and Finance | Quantitative Finance, 2015 | 2015 | banks, input-output, systemic risk, too-interconnected-to-fail, networks, interbank markets |
Liquidity Coinsurance and Bank Capital |
Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon | Financial Intermediation, Systemic Risk Lab | Journal of Money, Credit and Banking, 2014 | 2014 | Bank Capital, Interbank Markets, Liquidity Coinsurance |
Trust Me! I am a European Central Banker |
Dirk Bursian, Sven Fürth | Macro and Finance, Systemic Risk Lab | Journal of Money, Credit and Banking, 2015 | 2015 | Central Banking, European Central Bank, Financial Crisis, Fiscal Crisis, Trust |
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation |
Tobias Niedrig | Financial Intermediation | Journal of Insurance Issues, 2015 | 2015 | Basel III, Solvency II, Life Insurance, Interest Rate Guarantees, Asset Allocation, Contagion, Interconnectedness |
Trust in Government and Fiscal Adjustments |
Dirk Bursian, Alfons J. Weichenrieder, Jochen Zimmer | Macro and Finance, Systemic Risk Lab | International Tax and Public Finance, 2015 | 2015 | trust, debt sustainability, fiscal reaction function, euro area, EU |
The Dynamics of Crises and the Equity Premium |
Nicole Branger, Holger Kraft, Christoph Meinerding | Systemic Risk Lab, Financial Markets | Review of Financial Studies, 2016 | 2016 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models |
Too Interconnected to Fail: A Survey of the Interbank Networks Literature |
Anne-Caroline Hüser | Macro and Finance | Journal of Network Theory in Finance, 2015 | 2015 | Interbank networks, systemic risk, contagion, banking, macro-prudential policy |
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Systemic Risk Lab, Financial Markets | Journal of Financial Economics, 2016 | 2016 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market |
Policy-Publikationen zum Systemischen Risiko
| June 2018 |
How demanding and consistent is the 2018 stress test design in comparison to previous exercises? |
Rainer Haselmann, Mark Wahrenburg | Financial Intermediation | stress test, European banks, Banking union | 2018-06 |
| June 2018 |
A New Governance Architecture for European Financial Markets? Towards a European Supervision of CCPs |
Jan Friedrich, Matthias Thiemann | Financial Intermediation | Central Counterparties, European Supervisory Architecture, Capital Markets Union, regulatory arbitrage, EMIR, supervisory arbitrage, Brexit | 2018-06 |
| May 2018 |
If you do it, do it right – The need for a Common European Supervisory Architecture for CCPs |
Jan Friedrich, Christian Resch, Matthias Thiemann | Financial Intermediation | Central Counterparties, European Supervisory Architecture, Capital Markets Union, regulatory arbitrage, EMIR, supervisory arbitrage | 2018-05 |
| February 2018 |
Financial Stability in the EU: A Case for Micro Data Transparency |
Johannes Kasinger, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | micro data transparency, financial stability, financial market data | 2018-02 |
| December 2017 |
Five Years after the Liikanen Report: What Have We Learned? |
Martin Götz, Jan Pieter Krahnen, Tobias Tröger | Financial Intermediation | Financial stability, banking separation, prohibition of proprietary trading, banking and treasury functions, bail-in, MREL, TLAC | 2017-12 |
| December 2017 |
Systemic Risk in Insurance: Towards a new Approach |
Elia Berdin, Matteo Sottocornola | Financial Markets | systemic risk, macroprudential franework, insurance, financial stability | 2017-12 |
| February 2017 |
Taking Bail-in Seriously - The Looming Risks for Banking Policy in the Rescue of Monte dei Paschi di Siena |
Martin Götz, Jan Pieter Krahnen, Tobias Tröger | Financial Intermediation | BRRD, banking resolution, banking supervision, SRM, financial stability, systemic risk | 2017-02 |
| September 2016 |
"Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs) |
Jan Pieter Krahnen, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | central counterparties, CCP, derivatives, financial market regulation, financial market supervision | 2016-09 |
| November 2016 |
Structural Reforms in Banking: The Role of Trading |
Jan Pieter Krahnen, Felix Noth, Ulrich Schüwer | Financial Intermediation, Financial Markets | proprietary trading, banking separation proposals, bank risk | 2016-11 |
| September 2015 |
Euro Area Macro-Financial Stability: A Flow-of-Funds Perspective |
Günter Beck, Hans-Helmut Kotz, Natalia Zabelina | Financial Intermediation, Macro and Finance | Bank and non-bank financial intermediation, shadow banking, financial stability, systemic risk, financial regulation | 2015-09 |
| April 2014 |
How Important Are Hedge Funds in a Crisis? |
Reint Gropp | Financial Intermediation | systemic risk analysis, statistical risk measurement, spillover effects | 2014-04 |
| February 2012 |
Recommendations by the Issing Commission – Memo for the G-20 November 2011 Summit in Cannes |
Otmar Issing, Jan Pieter Krahnen, Klaus Regling, William White | Financial Intermediation | shadow banking, systemic risk analysis, regulatory arbitrage | 2012-02 |
| June 2010 |
Criteria for a Workable Approach Towards Bank Levies and Bank Restructuring |
Otmar Issing, Jan Pieter Krahnen | Financial Intermediation | systemic risk, bank resolution | 2010-06 |
| February 2010 |
Rescue Strategy Without Moral Hazard – An Attempt to Provide a Master Plan for Avoiding Banking Crises |
Jan Pieter Krahnen, Helmut Siekmann | Financial Intermediation | systemic risk, banking hospital | 2010-02 |
| November 2009 |
Defining and Measuring Systemic Risk |
Stefan Gerlach | Financial Intermediation | systemic risk, statistical risk measurement | 2009-11 |
| May 2012 |
Systemic Risks and Central Banks |
Hermann Remsperger | Macro and Finance | macroprudential regulation, monetary policy, Financial Stability Act | 2012-05 |
| April 2012 |
"The Economic Rationale for Financial Regulation” Reconsidered |
Richard Herring, Reinhard H. Schmidt | Financial Intermediation | regulation, supervision, systemic risk | 2012-04 |
