Extremes for a general contagion risk measure

2022 ◽  
Author(s):  
Chengxiu Ling ◽  
Jiajun Liu
Keyword(s):  
Risk Measure ◽  
Contagion Risk

scholarly journals The Time-Spatial Dimension of Eurozone Banking Systemic Risk

Risks ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 75 ◽  
Author(s):  
Matteo Foglia ◽  
Eliana Angelini
Keyword(s):  
Spatial Econometrics ◽  
Systemic Risk ◽  
Spatial Dependence ◽  
Financial Stability ◽  
Risk Measure ◽  
Spatial Dimension ◽  
Time Dimension ◽  
Cross Sectional ◽  
Time Space ◽  
Contagion Risk

In this paper, we measure the systemic risk with a novel methodology, based on a “spatial-temporal” approach. We propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension. The aim is to highlight the “time-space dynamics” of contagion, i.e., if the CDS spread of bank i depends on the CDS spread of other banks. To do this, we use an advanced spatial econometrics design with a time-varying spatial dependence that can be interpreted as an index of the degree of cross-sectional spillovers. The findings highlight that the Eurozone banks have strong spatial dependence in the evolution of CDS spread, namely the contagion effect is present and persistent. Moreover, we analyse the role of the European Central Bank in managing contagion risk. We find that monetary policy has been effective in reducing systemic risk. However, the results show that systemic risk does not imply a policy intervention, highlighting how financial stability policy is not yet an objective.

Portfolio Return, Risk and Market Timing: A Non-Parametric Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Joyjit Dhar ◽  
Ram Pratap Sinha
Keyword(s):  
Risk Measure ◽  
Market Timing ◽  
Evaluation Framework ◽  
Data Envelopment ◽  
Portfolio Evaluation ◽  
Period 2 ◽  
Measure Of Performance ◽  
Standard Risk ◽  
Portfolio Return ◽  
Non Parametric

The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.

Risk Management Optimization for Sovereign Debt Restructuring

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Andrea Consiglio ◽  
Stavros A. Zenios
Keyword(s):  
Risk Management ◽  
Scenario Analysis ◽  
Sovereign Debt ◽  
Risk Measure ◽  
Policy Tools ◽  
Debt Restructuring ◽  
Tail Risk ◽  
Debt Sustainability ◽  
Scenario Optimization ◽  
Management Optimization

AbstractDebt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed

scholarly journals Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 60
Author(s):  
Cláudia Simões ◽  
Luís Oliveira ◽  
Jorge M. Bravo
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Risk Measure ◽  
Management Strategies ◽  
Interest Rate Risk ◽  
Insurance Companies ◽  
Retirement Income ◽  
Investment Strategies ◽  
Immunization Strategies ◽  
The Impact

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies for funding targeted multiple liabilities that are fixed in timing but random in size (inflation-linked), i.e., that change stochastically according to consumer price or wage level indexes. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies targeted to immunize multiple liabilities of random size are superior to that of nominal bonds. We use two alternative datasets comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization performance is tested over 3-year and 5-year investment horizons, uses real and not simulated bond data and takes into consideration the impact of transaction costs in the performance of immunization strategies and in the selection of optimal investment strategies. The results show that the multiple liability immunization strategy using inflation-linked bonds outperforms the equivalent strategy using nominal bonds and is robust even in a nearly zero interest rate scenario. These results have important implications in the design and structuring of ALM liability-driven investment strategies, particularly for retirement income providers such as pension schemes or life insurance companies.

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