scholarly journals Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions

2016 ◽  
pp. 357-390
Author(s):  
Stefan Straetmans ◽  
Thanh Thi Huyen Dinh
Keyword(s):  
Financial Institutions ◽  
Systemic Risk ◽  
Risk Profiles ◽  
Tail Risk ◽  
Different Types

scholarly journals EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT

2018 ◽  
Vol 13 (02) ◽  
pp. 1850009 ◽  
Author(s):  
CHRISTIAN BROWNLEES ◽  
GIUSEPPE CAVALIERE ◽  
ALICE MONTI
Keyword(s):  
Mean Square Error ◽  
Financial Institutions ◽  
Loss Function ◽  
Systemic Risk ◽  
Value At Risk ◽  
Risk Measurement ◽  
Loss Functions ◽  
Conditional Value At Risk ◽  
Mean Square ◽  
Tail Risk

In this paper, we address how to evaluate tail risk forecasts for systemic risk (SRISK) measurement. We propose two loss functions, the Tail Tick Loss and the Tail Mean Square Error, to evaluate, respectively, Conditional Value-at-Risk (CoVaR) and MES forecasts. We then analyse CoVaR and MES forecasts for a panel of top US financial institutions between 2000 and 2012 constructed using a set of bivariate DCC-GARCH-type models. The empirical results highlight the importance of using an appropriate loss function for the evaluation of such forecasts. Among other findings, the analysis confirms that the DCC-GJR specification provides accurate predictions for both CoVaR and MES, in particular for the riskiest group of institutions in the panel (Broker-Dealers).

scholarly journals Systemic risk network of Chinese financial institutions

2018 ◽  
Vol 35 ◽  
pp. 190-206 ◽  
Author(s):  
Libing Fang ◽  
Boyang Sun ◽  
Huijing Li ◽  
Honghai Yu
Keyword(s):  
Financial Institutions ◽  
Systemic Risk

scholarly journals The cyber-resilience of financial institutions: significance and applicability

2019 ◽  
Vol 5 (1) ◽  
Author(s):  
Benoît Dupont
Keyword(s):  
Financial Institutions ◽  
Financial Sector ◽  
Regulatory Agencies ◽  
External Shocks ◽  
Online Security ◽  
Scientific Disciplines ◽  
Different Types ◽  
History Of ◽  
Risk Managers ◽  
Rich History

Abstract The growing sophistication, frequency and severity of cyberattacks targeting financial sector institutions highlight their inevitability and the impossibility of completely protecting the integrity of critical computer systems. In this context, cyber-resilience offers an attractive complementary alternative to the existing cybersecurity paradigm. Cyber-resilience is defined in this article as the capacity to withstand, recover from and adapt to the external shocks caused by cyber risks. Resilience has a long and rich history in a number of scientific disciplines, including in engineering and disaster management. One of its main benefits is that it enables complex organizations to prepare for adverse events and to keep operating under very challenging circumstances. This article seeks to explore the significance of this concept and its applicability to the online security of financial institutions. The first section examines the need for cyber-resilience in the financial sector, highlighting the different types of threats that target financial systems and the various measures of their adverse impact. This section concludes that the “prevent and protect” paradigm that has prevailed so far is inadequate, and that a cyber-resilience orientation should be added to the risk managers’ toolbox. The second section briefly traces the scientific history of the concept and outlines the five core dimensions of organizational resilience, which is dynamic, networked, practiced, adaptive, and contested. Finally, the third section analyses three types of institutional approaches that are used to foster cyber-resilience in the financial sector (and beyond): (i) a thriving cybersecurity industry is promoting cyber-resilience as the future of security; (ii) standards bodies are embedding cyber-resilience into some of their cybersecurity standards; and (iii) regulatory agencies have developed a broad range of compliance tools aimed at enhancing cyber-resilience.

scholarly journals The Tripartite Regulation Game of Carbon Financial Products Based on the Prospect Theory

2020 ◽  
Vol 8 ◽  
Author(s):  
Xiaoran Yu ◽  
Guanglong Dong ◽  
Changyu Liu
Keyword(s):  
Information Asymmetry ◽  
Prospect Theory ◽  
Bounded Rationality ◽  
Influencing Factors ◽  
Financial Institutions ◽  
Behavioral Strategy ◽  
Financial Products ◽  
Different Types ◽  
Game Players ◽  
High Information

Because of the high information asymmetry of carbon financial products (CFPs), financial institutions infringing on the rights of investors occurred worldwide. However, few studies focused on how to protect investors effectively. In this paper, from the perspective of regulation, we analyze the game relationships among governments, financial institutions, and investors. Following this, the tripartite regulation game of CFPs is further constructed. Meanwhile, centered on heterogeneity and bounded rationality, we divide participants in this game into two types: tough or weak ones, and the strategies for different types of game players are compared based on the prospect theory. Moreover, through discussion of the deterrence equilibrium, challenge equilibrium, and separation equilibrium, the crucial influencing factors of the behavioral strategy are explored separately. Finally, some countermeasures of CFPs are put forward for governments to design appropriate regulation policies.

scholarly journals Would Hedge Fund Regulation Mitigate Systemic Risk? Direct vs. Indirect Regulation Approach

2017 ◽  
Vol 10 (8) ◽  
pp. 31
Author(s):  
Mehnaz Roushan Laura ◽  
Nafiz Ul Fahad
Keyword(s):  
Financial Institutions ◽  
Systemic Risk ◽  
Hedge Fund ◽  
Regulatory Change ◽  
Industry Growth ◽  
Large Complex ◽  
Fund Industry ◽  
Regulation Approach ◽  
The Waves ◽  
Regulatory Reforms

This paper presents the direct vs. indirect debate of hedge fund regulation and attempts to find which approach is better able to mitigate systemic risk that the industry poses to the economy. The waves of regulatory reforms and enhanced concern regarding investors protection have recently brought attention of the regulators to hedge fund regulation issue. But, many academics fear that direct intervention may limit industry growth and benefit. Addressing these concerns, this paper observes the systemic importance of hedge fund industry based on four criteria’s [size, leverage, interconnectedness to large complex financial institutions (LCFIs) and herding] and concludes that although this industry is still small in terms of size and leverage, their interconnectivity with LCFIs and potential herding make them systemically significant. Hence, regulation of hedge fund is necessary to restrict the transmission of systemic events. Analysing direct and indirect approaches, this paper suggests that the counterparties are best positioned to implement this regulatory change.

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