A Systematic Diagnosis of Systemic Risk: The Role of Leading and Lagging Indicators

2012 ◽  
Author(s):  
Myeong Hyeon Kim ◽  
Baeho Kim
Keyword(s):  
Systemic Risk

Atherosclerosis at arterial bifurcations: evidence for the role of haemodynamics and geometry

2016 ◽  
Vol 115 (03) ◽  
pp. 484-492 ◽  
Author(s):  
Umberto Morbiducci ◽  
Annette M. Kok ◽  
Brenda R. Kwak ◽  
Peter H. Stone ◽  
David A. Steinman ◽  
...  
Keyword(s):  
Risk Factors ◽  
Shear Stress ◽  
Systemic Risk ◽  
Biological Response ◽  
Arterial System ◽  
Ample Evidence ◽  
Fluid Forces ◽  
Flow Features ◽  
Systemic Risk Factors

SummaryAtherosclerotic plaques are found at distinct locations in the arterial system, despite the exposure to systemic risk factors of the entire vascular tree. From the study of arterial bifurcation regions, emerges ample evidence that haemodynamics are involved in the local onset and progression of the atherosclerotic disease. This observed co-localisation of disturbed flow regions and lesion prevalence at geometrically predisposed districts such as arterial bifurcations has led to the formulation of a ‘haemodynamic hypothesis’, that in this review is grounded to the most current research concerning localising factors of vascular disease. In particular, this review focuses on carotid and coronary bifurcations because of their primary relevance to stroke and heart attack. We highlight reported relationships between atherosclerotic plaque location, progression and composition, and fluid forces at vessel’s wall, in particular shear stress and its ‘easier-tomeasure’ surrogates, i.e. vascular geometric attributes (because geometry shapes the flow) and intravascular flow features (because they mediate disturbed shear stress), in order to give more insight in plaque initiation and destabilisation. Analogous to Virchow’s triad for thrombosis, atherosclerosis must be thought of as subject to a triad of, and especially interactions among, haemodynamic forces, systemic risk factors, and the biological response of the wall.

CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

2013 ◽  
Vol 16 (07) ◽  
pp. 1350039 ◽  
Author(s):  
CYRIL DURAND ◽  
MAREK RUTKOWSKI
Keyword(s):  
Comparative Analysis ◽  
Systemic Risk ◽  
General Framework ◽  
Practical Importance ◽  
Numerical Results ◽  
Counterparty Risk ◽  
Market Environment ◽  
Financial Contracts

We propose a fairly general framework which allows one to perform Credit Value Adjustment (CVA) computations for a contract with bilateral counterparty risk in the presence of (a) systemic risk and (b) wrong-way or right-way risks. Our methodology focuses on the role of alternative settlement clauses, but it also aims to cover various features of margin agreements. We present a comparative analysis of numerical results that supports our initial conjecture that alternative specifications of settlement values have a nonnegligible impact on CVA computations for contracts with bilateral counterparty risk. Our conclusions emphasize the practical importance of more sophisticated models that are capable of fully reflecting the actual features of financial contracts, as well as the influence of the market environment.

scholarly journals MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA

2014 ◽  
Vol 16 (2) ◽  
pp. 103-125 ◽  
Author(s):  
Sri Ayomi ◽  
Bambang Hermanto
Keyword(s):  
At Risk ◽  
Systemic Risk ◽  
Value At Risk ◽  
Jel Classification ◽  
Conditional Value At Risk ◽  
Probability Of Default ◽  
Insolvency Risk ◽  
Merton Model ◽  
Risk Probability

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk. Keywords : Conditional Value at Risk; Probability of Default; systemic risk and financial linkages;Value at Risk. JEL Classification: D81, G21, G33

scholarly journals Systemic risk and banking regulation: Some facts on the new regulatory framework

2015 ◽  
Vol 12 (2) ◽  
pp. 52-63 ◽  
Author(s):  
Michele Bonollo ◽  
Irene Crimaldi ◽  
Andrea Flori ◽  
Fabio Pammolli ◽  
Massimo Riccaboni
Keyword(s):  
Systemic Risk ◽  
Banking Regulation ◽  
Regulatory Framework ◽  
Data Availability ◽  
Relevant Role ◽  
Recent Financial Crisis ◽  
The Stability ◽  
Derivatives Markets ◽  
Shed Light

The recent financial crisis highlighted the relevant role of the systemic effects of banks’ defaults on the stability of the whole financial system. In this work we draw an organic picture of the current regulations, moving from the definitions of systemic risk to the issues concerning data availability. We show how a more detailed flow of data on traded deals might shed light on some systemic risk features taken into account only partially in the past. In particular, we analyse how the new regulatory framework allows regulators to describe OTC derivatives markets according to more detailed partitions, thus depicting a more realistic picture of the system. Finally, we suggest to study sub-markets illiquidity conditions to consider possible spill over effects which might lead to a worsening for the entire system

Role of Systemic Risk in Regional Ecological Long-Term Threats Analysis

2012 ◽  
Author(s):  
Yuriy V. Kostyuchenko ◽  
Kopachevsky I ◽  
Zlateva P ◽  
Stoyka Yu ◽  
Akymenko P
Keyword(s):  
Systemic Risk

The role of thrombophilia in patients with retinal vein occlusion and no systemic risk factors

2010 ◽  
Vol 45 (2) ◽  
pp. 171-175 ◽  
Author(s):  
Matus Rehak ◽  
Vera Krcova ◽  
Ludek Slavik ◽  
Evzen Fric ◽  
Katerina Langova ◽  
...  
Keyword(s):  
Risk Factors ◽  
Retinal Vein Occlusion ◽  
Systemic Risk ◽  
Vein Occlusion ◽  
Systemic Risk Factors

scholarly journals Role of Recovery in Evolving Protection against Systemic Risk: A Mechanical Perspective in Network-Agent Dynamics

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-23
Author(s):  
Chulwook Park
Keyword(s):  
Systemic Risk ◽  
Random Network ◽  
Network Dynamics ◽  
Risk Measurement ◽  
Operating Principle ◽  
General Regularity ◽  
Alternative Interventions

We propose a model of evolving protection against systemic risk related to recovery. Using the failure potential in network-agent dynamics, we present a process-based simulation that provides insights into alternative interventions and their mechanical uniqueness. The fundamental operating principle of this model is that computation allows greater emphasis on optimizing the recovery within the general regularity of random network dynamics. The rules and processes that are used here could be regarded as useful techniques in systemic risk measurement relative to numerical failure reduction analyses.

Impact of Crypto-Asset Trade on Financial Stability

2020 ◽  
pp. 210-232
Author(s):  
Nader Trabelsi
Keyword(s):  
Systemic Risk ◽  
Financial Stability ◽  
Financial System ◽  
System Stability ◽  
Copula Model ◽  
Copula Approach ◽  
The Stability ◽  
The Empirical Analysis ◽  
Global Financial System

The chapter attempts to test the hypothesis that cryptocurrencies are real independent financial instruments that pose no danger to global financial system stability. For the empirical analysis, the authors use data related to bitcoin and widely traded asset classes. They also utilize the copula approach as well as the CoVaR model. The results show a significant role of crypto-asset market in the stability of global markets. Precisely, they find a dependence between bitcoin and oil prices defined by a normal copula model. The empirical results regarding the systemic risk show that extreme changes in bitcoin prices may have an adverse effect on equity and gold markets. There are positive and significant effects of EUR, JPY, and WTI markets when bitcoin goes down. The authors have also shown that after 2016 the virtual market sudden changes are more likely to raise the whole regular financial system losses, except the energy market. These results are important for policymakers and investors.

The Role of Correlation in Systemic Risk: Mechanisms, Effects, and Policy Implications

2021 ◽  
pp. 395-401
Author(s):  
Stefano Zedda ◽  
Michele Patanè ◽  
Luana Miggiano
Keyword(s):  
Systemic Risk ◽  
Policy Implications
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