15. Feb 2018
Bedeutung und Potenzial von Mikrodatenanalysen
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
17. Aug 2017
Nach der Krise ist vor der Krise
28. Jun 2017
Schuldtitel jenseits von TLAC notfalls stützen
Forschungspapiere zum Systemischen Risiko
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 Institutions, Systemic Risk Lab | SAFE Working Paper No. 214 | 2018 | |
Persistent liquidity shocks and interbank funding |
Marcel Bluhm | Financial Institutions, Systemic Risk Lab | Journal of Financial Stability, 2018 | 2018 | Financial fragility, Interbank market, Liquidity, Maturity, Network |
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 |
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question |
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas 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 Maillet | Systemic Risk Lab | Journal of Empirical Finance, 2018 | 2018 | Performance measure Omega Return distribution Risk Stochastic dominance |
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 Institutions, Systemic Risk Lab | ISTE – 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 |
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 |
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders |
Deyan Radev | Financial Institutions | 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 Institutions | 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 A. A. Khalifa | Financial Markets, Financial Institutions, Systemic Risk Lab | SAFE Working Paper No. 172 | 2017 | Systemic Risk, Risk Measurement, VaR, ?CoVaR, Oil, Financial Institutions, Petroleum-based Economies |
Natural Disaster and Bank Stability: Evidence from the U.S. Financial System |
Felix Noth, Ulrich Schüwer | Financial Institutions, 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 | 2017 | 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 |
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 Institutions, Systemic Risk Lab | Springer, 2016 | 2016 | |
Von mikro- zu makroprudenzieller Regulierung |
Mohamed Aldegwy, Matthias Thiemann | Macro Finance | 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, Corporate Finance | European Business Organization Law Review, 2016 | 2016 | |
Insurance Activities and Systemic Risk |
Elia Berdin, Matteo Sottocornola | Systemic Risk Lab, Financial Institutions | 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 Institutions | SAFE Working Paper No. 117 | 2015 | Financial fragility, interbank market, liquidity, maturity, network model |
Bank Networks: Contagion, Systemic Risk and Prudential Policy |
Iñaki Aldasoro, Domenico Delli Gatti, Ester Faia | Macro 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 Institutions | 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 Finance | SAFE Working Paper No. 92 | 2015 | Climate change economics, Carbon abatement, GDP growth |
On the Impact of Leveraged Buyouts on Bank Systemic Risk |
Marcel Grupp | Corporate 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 Finance | SAFE Working Paper No. 102 | 2015 | interbank networks, systemic importance, multiplex networks |
Measuring Sovereign Contagion in Europe |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Systemic Risk Lab, Financial Markets | SAFE Working Paper No. 103 | 2015 | Sovereign Risk, Contagion, Disintegration |
Assessing Systemic Fragility – a Probabilistic Perspective |
Deyan Radev | Financial Institutions | SAFE Working Paper No. 70 | 2014 | Banking Stability, Financial Distress, Tail Risk, Contagion |
Endogenous Banks’ Networks, Cascades and Systemic Risk |
Marcel Bluhm, Ester Faia, Jan Pieter Krahnen | Systemic Risk Lab, Macro 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, Corporate Finance | SAFE Working Paper No. 10 | 2013 | bailout, cycle flows, cyclical liabilities, interbank network, leverage |
Bank and Sovereign Debt Risk Connection |
Ester Faia, Diego Rodriguez Palenzuel, Matthieu Darracq Paries | Systemic Risk Lab, Macro 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 Institutions | 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 Institutions | 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 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 Institutions, Systemic Risk Lab | Oxford University Press, 2015 | 2015 | 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 Institutions | 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 Institutions | 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 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 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 Finance | Quantitative Finance, 2015 | 2015 | banks, input-output, systemic risk, too-interconnected-to-fail, networks, interbank markets |
Trust Me! I am a European Central Banker |
Dirk Bursian, Sven Fürth | Macro 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 Institutions | 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 Weichenrieder, Jochen Zimmer | Macro 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 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
| 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 Institutions | 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 | 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 Institutions, 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 Institutions, Macro 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 Institutions | 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 Institutions | 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 Institutions | 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 Institutions | systemic risk, banking hospital | 2010-02 |
| November 2009 |
Defining and Measuring Systemic Risk |
Stefan Gerlach | Financial Institutions | systemic risk, statistical risk measurement | 2009-11 |
| May 2012 |
Systemic Risks and Central Banks |
Hermann Remsperger | Macro 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 Institutions | regulation, supervision, systemic risk | 2012-04 |
Forschungsprojekte zum Systemischen Risiko
| Publication Count | ||||||
|---|---|---|---|---|---|---|
| Systemic Risk Lab | The information content of securities lending along the sovereign risk spectrum |
Zsuzsa R. Huszar, Zorka Simon | 2018 | Securities lending, Sovereign risk, Convenience yield, Collateral, Information revelation, Funding liquidity | 22523 | 0 |
| Systemic Risk Lab | EdDaPP - Energy Efficiency Data Protocol and Portal |
Loriana Pelizzon | 2018 | 22592 | 0 | |
| Systemic Risk Lab, Data Center, Financial Markets | Digging into High Frequency Data: Present and Future Risks and Opportunities |
Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Loriana Pelizzon, Peter Sarlin, Jean-Pierre Zigrand | 2017 | 22590 | 1 | |
| Systemic Risk Lab | EeMAP – Energy Efficient Mortgages Action Plan |
Loriana Pelizzon, Max Riedel | 2017 | 22591 | 1 | |
| Systemic Risk Lab | Contingent Convertible and Subordinated Bonds Issuance |
Martin Götz, Xu Liu, Loriana Pelizzon | 2017 | Financial stability; Corporate finance; Contingent capital; Subordinated debt, Basel III, Bail-in | 21003 | 0 |
| Systemic Risk Lab | Dealer and MM network in the CDS and cash sovereign bond market |
Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen | 2017 | Bond Market, Market Maker, Liquidity Provision, Network Resilience, over-the-counter financial market, liquidity, market quality, network analysis | 21003 | 0 |
| Systemic Risk Lab | Commonality and liquidity spillover in European sovereign bonds: An analysis of cash, futures, repo and CDS contracts |
Mario Bellia, Loriana Pelizzon, Tuomas Peltonen, Marti Subrahmanyam | 2017 | Price discovery, liquidity, commonality, European sovereign bond market, CDS market, Future market | 21003 | 0 |
| Systemic Risk Lab, Financial Institutions | The Impact of Quantitative Easing on Stock and CDS Prices of European Insurance Companies |
Mario Bellia, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola | 2017 | 22582 | 0 | |
| Systemic Risk Lab | European early warning system for systemic risk – EARLINESS.eu |
Mauro Bernardi, Monica Billio, Massimiliano Caporin, Roberto Casarin, Michele Costola, Lorenzo Frattarolo, Shawkat Hammoudeh, Ahmed A. A. Khalifa, Bertrand Maillet, Roberto Panzica, Loriana Pelizzon, Erdem Yenerdag | 2016 | Early warning system, systemic risk measures, financial stability, macro-financial linkages, network, sparsity, dynamic quantiles | 22581 | 1 |
| Financial Institutions | Effect of Capital Regulation on Bank Investment Strategies and Systemic Risk |
Rainer Haselmann, Deyan Radev, Vikrant Vig | 2016 | Capital regulation, Market Risk, Systemic Risk, Bank Investment Strategies, Basel II.5 | 21121 | 0 |
| Systemic Risk Lab | The Demand for Central Clearing – To Clear or Not to Clear? |
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Tuomas Peltonen | 2016 | Central Clearing, Credit Default Swap | 22520 | 1 |
| Systemic Risk Lab | Impacts of the Quantitative Easing on the European Insurance Industry |
Monica Billio, Petr Jakubik, Nicola Mano, Loriana Pelizzon, Matteo Sottocornola | 2016 | Quantitative Easing, Insurance Company, SIFI | 22521 | 0 |
| Financial Markets, Macro Finance | Quantitative Easing and Financial (In)Stability |
Jan Pieter Krahnen, Jun Li, Xu Liu, Loriana Pelizzon, Christian Schlag, Sascha Steffen, Matthias Thiemann | 2016 | 21480 | 1 | |
| Financial Markets, Systemic Risk Lab | Network representations of interconnections and contagion |
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger | 2016 | 21610 | 1 | |
| Financial Markets, Systemic Risk Lab | Network Connectivity, Systemic and Systematic Risk |
Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon | 2016 | 21610 | 1 | |
| Financial Institutions, Systemic Risk Lab | Network banks exposures and variance spillovers in the euro area |
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon, Zorka Simon | 2016 | 21610 | 1 | |
| Financial Markets, Systemic Risk Lab | An examination of the strategic behavior of high-frequency traders (HFTs) |
Loriana Pelizzon, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Jun Uno, Jan Viebig, Christian Westheide | 2016 | 21620 | 1 | |
| Macro Finance, Financial Institutions, Corporate Finance, Financial Markets | Bailouts and financial stability: Experimental evidence |
Paul Gortner, Baptiste Massenot | 2016 | 21650 | 1 | |
| Macro Finance, Financial Institutions, Corporate Finance, Financial Markets | Capital requirements and financial stability: Experimental evidence |
Paul Gortner, Baptiste Massenot | 2016 | 21650 | 1 | |
| Financial Markets, Systemic Risk Lab | Network Connectivity and General Equilibrium Asset Prices |
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | 2016 | Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks | 21610 | 1 |
| Financial Institutions, Systemic Risk Lab | A Genealogy of Systemic Risk Network Measures adopted by Regulators |
Edin Ibrocevic, Loriana Pelizzon, Matthias Thiemann | 2016 | 21610 | 1 | |
| Financial Institutions, Systemic Risk Lab | Consequences of Changes in the Banking Structure due to Complex Financial Regulation for Financial Stability and Systemic Risk |
Brigitte Haar, Rainer Haselmann, Katharina Pistor, Vikrant Vig, Christine Zulehner | 2016 | bank regulation, competition law, too big to fail, financial stability | 21600 | 1 |
| Corporate Finance | Challenges for competition law arising from financial stability |
Pedro Magalhães Batista, Iwona Matylda Grandjean, Brigitte Haar, Casimiro Antonio Nigro, Katharina Pistor | 2016 | bank regulation, too big to fail, financial stability, bank regulation, model based regulation, bank competition | 21600 | 1 |
| Financial Institutions | Shadow banking with an implicit government put |
Matthias Thiemann | 2015 | 21181 | 1 | |
| Financial Markets | Management of Market Risks: Regulation and Coordination of Volatility Interruptions in Europe |
Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz | 2015 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design, Coordination, Market Fragmentation, Volume Migration | 21490 | 1 |
| Data Center | Further development of the platform and the data provision for the Systemic Risk Dashboard |
Loriana Pelizzon | 2015 | 12128 | 0 | |
| Financial Markets, Systemic Risk Lab | Strategic behavior of High Frequency Traders during the market pre-opening period |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 2014 | High Frequency Traders, Order Submission, Order Cancellation, Pre-Opening, Price Discovery, Liquidity Provision | 12150 | 1 |
| Macro Finance, Systemic Risk Lab | Sovereign, bank and insurance credit spread: connectedness and system networks |
Monica Billio, Lorenzo Frattarolo, Mila Getmansky Sherman, Dale F. Gray, Andrew Lo, Robert Merton, Loriana Pelizzon, Michael Schmidt | 2014 | 12124 | 0 | |
| Financial Institutions, Systemic Risk Lab | Interconnectedness of insurance companies |
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley | 2014 | Regulation, Systemic risk, portfolio exposures, networks, Insurance companies | 12127 | 0 |
| Financial Markets, Systemic Risk Lab | Limits to arbitrage in sovereign bonds: price and liquidity discovery in high frequency quote driven markets |
Mario Bellia, Loriana Pelizzon, Max Riedel, Marti Subrahmanyam, Davide Tomio, Jun Uno | 2014 | Sovereign bonds, Liquidity, futures markets, ECB interventions, futures-bond basis, arbitrage | 12126 | 1 |
| Macro Finance, Systemic Risk Lab | Risk Cascades in Banking Networks and the Measurement of Systemic Risk |
Iñaki Aldasoro, Ester Faia, Anne-Caroline Hüser | 2014 | liquidity hoarding, contagion channels, global games | 11591 | 1 |
| Data Center, Systemic Risk Lab, Policy Center | Systemic Financial Risk Platform (SFRP) – A Platform for Presenting and Implementing Research on Systemic Risk |
Martin Götz, Dominik Hirschbühl | 2014 | Systemic risk, risk measurement, risk modelling, contagion | 22522 | 1 |
| Financial Institutions | The sovereign-bank loop: contagion between sovereign and bank credit markets |
Holger Kraft | 2014 | Contagion, Sovereign Debt Crisis, CDS, Panel VAR, Sign Restrictions | 11137 | 0 |
| Financial Markets | Network Connectivity, Self-Exciting Jumps and General Equilibrium Asset Prices |
Patrick Konermann, Christoph Meinerding, Christian Schlag | 2014 | Asset Pricing, General Equilibrium, Recursive Preferences, Dynamic Networks, Mutually Exciting Processes, Jump Processes, Contagion Risk, Network Connectivity | 11428 | 1 |
| Financial Markets, Transparency Lab, Systemic Risk Lab | Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs |
Adrian Buss, Raman Uppal, Grigory Vilkov | 2014 | 11422 | 1 | |
| Corporate Finance, Systemic Risk Lab | GLawFin – Private Contracts and Systemic Risk |
Luca Amorello, Pedro Magalhães Batista, Biljana Biljanovska, Jacob Bonavita, Brigitte Haar, Katharina Pistor, Max Weber | 2014 | Financial Markets, Financial Institutions, Financial Stability, Financial Contracts, Corporate Finance, Corporate Governance, Financial Institutions, Financial Services, Law and Economics, Systemic Risk | 12125 | 1 |
| Corporate Finance | Excessive Risk Taking, Compensation Schemes and Financial Market Stability |
Sascha Baghestanian, Paul Gortner, Baptiste Massenot | 2014 | Compensation Schemes, Bubbles, Risk Seeking, Liquidity, Experimental Asset Markets | 11226 | 1 |
| Financial Institutions, Systemic Risk Lab | The Internal Organization of Banks and the Transmission of Lending Shocks across Borders |
Reint Gropp, Deyan Radev, Michael Schröder | 2013 | banking, contagion, liquidity shocks, solvency shocks, internal bank organization | 11121 | 1 |
| Financial Markets, Transparency Lab, Systemic Risk Lab | Determinants of OTC Trading Volume |
Peter Gomber, Ilya Gvozdevskiy, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | 2013 | OTC Trading, Dark Pools, MiFID | 11424 | 1 |
| Financial Institutions, Systemic Risk Lab | Basel III and Solvency II - Risks and Side-Effects from their Interplay |
Helmut Gründl | 2013 | 11126 | 1 | |
| Financial Markets, Transparency Lab, Systemic Risk Lab | Asset Pricing with Recursive Utility and Heterogenous Investors |
Nicole Branger, Christian Schlag, Ivan Shaliastovich | 2013 | recursive utility, heterogenous investors, differences in beliefs | 11421 | 1 |
| Financial Markets, Transparency Lab, Systemic Risk Lab | General Equilibrium with Contagion Effects |
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility, Asset Pricing, Jump Processes | 11423 | 1 |
| Financial Institutions, Systemic Risk Lab | Consequences of Adverse Shocks on Bank Behavior |
Claudia Lambert, Felix Noth, Ulrich Schüwer | 2013 | natural disasters, non-performing assets, bank failures | 11123 | 1 |
| Financial Institutions, Systemic Risk Lab | On the Determinants of Interbank Networks |
Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen | 2013 | Network formation, Financial Fragility, Panel Data Regressions | 11127 | 1 |
| Corporate Finance, Transparency Lab, Systemic Risk Lab | Corporate Governance in Banks |
Tim Eisert, Christian Eufinger, Andrej Gill, Christian Hirsch, Uwe Walz | 2013 | Corporate Governance, Financial Institutions, Management Compensation, Moral Hazard, Ownership Structure, Risk Shifting | 11221 | 1 |
| Corporate Finance, Systemic Risk Lab | Leverage in Private Equity: A Potential Source of Systemic Risk? |
Christian Rauch, Uwe Walz | 2013 | Competition, Peers, LBOs, Product Market, Restructuring | 11222 | 1 |
| Financial Institutions, Systemic Risk Lab | A New Approach to Measuring Systemic Risk: Option-implied Tail Risk Dependencies in the Financial Sector |
Holger Kraft, | 2012 | Systemic risk, Value-at-risk, Equity options, Implied volatility | 11122 | 1 |
| Financial Institutions, Systemic Risk Lab | CDS Markets: Liquidity, Default Risk, and Correlation Risk |
Christel Merlin Kuate Kamga, Christian Wilde | 2012 | CDS, default risk, liquidity premia, financial crisis | 11124 | 1 |