scholarly journals Systemic Risk Spillovers in the European Energy Sector

Energies ◽  
2021 ◽  
Vol 14 (19) ◽  
pp. 6410
Author(s):  
Radu Lupu ◽  
Adrian Cantemir Călin ◽  
Cristina Georgiana Zeldea ◽  
Iulia Lupu
Keyword(s):  
Systemic Risk ◽  
Global Financial Crisis ◽  
Risk Measures ◽  
Energy Sector ◽  
Economic Sectors ◽  
Bayesian Formulation ◽  
Consumer Services ◽  
Market Turbulence ◽  
The Global Financial Crisis ◽  
Energy Companies

In this article, we aim to study systemic risk spillovers for European energy companies and to determine the spillover network of the energy sector with other economic sectors. To examine the spillovers within the energy sector, we employ three systemic risk measures. We then embed the results of these models into a Diebold–Yilmaz framework. Moreover, we consider an entropy procedure to extract a Bayesian formulation of its systemic risk spillover. This allows us to determine which company in our sample contributes the most to systemic risk, which company is the most vulnerable to systemic risk, and the place of the energy sector within risk networks. Our results reveal the fact that all companies manifest enhanced spillovers during 2008, early 2009, and 2020. These episodes are associated with the dynamics of the global financial crisis and the pandemic crisis. We notice that specific companies are risk drivers in the sector in both times of market turbulence and calm. Lastly, we observe that several economic sectors such as banks, capital goods, consumer services, and diversified financials generate relevant spillovers towards the energy sector.

Systemic Risk-Driven Portfolio Selection

2022 ◽  
Author(s):  
Agostino Capponi ◽  
Alexey Rubtsov
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Systemic Risk ◽  
Value At Risk ◽  
Global Financial Crisis ◽  
Risk Measures ◽  
Conditional Value At Risk ◽  
The Face ◽  
Financial Index ◽  
The Global Financial Crisis

How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Systemic Risk-Driven Portfolio Selection,” Capponi and Rubtsov investigate the design of portfolios that trade off tail risk and expected growth of the investment. The authors show how two well-known risk measures, the value-at-risk and the conditional value-at-risk, can be used to construct portfolios that perform well in the face of systemic events. The paper uses U.S. stock data from the S&P500 Financials Index and Canadian stock data from the S&P/TSX Capped Financial Index, and it demonstrates that portfolios accounting for systemic risk attain higher risk-adjusted expected returns, compared with well-known benchmark portfolio criteria, during times of market downturn.

Banking

2019 ◽  
pp. lii-36
Author(s):  
Allen N. Berger ◽  
Philip Molyneux ◽  
John O. S. Wilson
Keyword(s):  
Systemic Risk ◽  
Financial Literacy ◽  
Global Financial Crisis ◽  
Banking System ◽  
System Stability ◽  
Real Economy ◽  
Research Themes ◽  
The Us ◽  
The Global Financial Crisis ◽  
Operational Issues

A lot has happened in the ten years since the global financial crisis. This chapter starts with a summary of key regulatory and operational issues that have impacted banks in Europe, the US and elsewhere. Banks are much more heavily regulated than pre-crisis, their performance in the US and Europe has been subdued although there are signs that those in the former have turned the corner. There continues also to be ongoing discussion as well as regulatory efforts to improve banking system stability with new rules on capital, liquidity, bailouts, and bail-ins to be fully completed. These issues are covered in the first part of the chapter. We then move on to discuss emerging research themes covering areas including: banks and their impact on the real economy; capital, liquidity, and tax regulation; systemic risk; unconventional monetary policy; FinTech; bank governance and culture; financial consumer protection and financial literacy; and finally financial inclusion. The final part of the chapter provides summaries of all the chapters in the Handbook.

scholarly journals Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Jianxu Liu ◽  
Yangnan Cheng ◽  
Yefan Zhou ◽  
Xiaoqing Li ◽  
Hongyu Kang ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Systemic Risk ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Spillover Effect ◽  
Industrial Sectors ◽  
Risk Contribution ◽  
The Global Financial Crisis ◽  
Over Time

This paper investigates the risk contribution of 29 industrial sectors to the China stock market by using one-factor with Durante generator copulas (FDG) and component expected shortfall (CES) analyses. Risk contagion between the systemically most important sector and other sectors is examined using a copula-based ∆CoVaR approach. The data cover the 2008 global financial crisis and the beginning of the COVID-19 pandemic. The empirical results show that the banking sector contributed most to systemic risk before and during the global financial crisis. Nonbank finance became equally important in 2020, and the COVID-19 pandemic promoted the position of the computer and pharmaceuticals sectors. The spillover effect diminishes over time, but there remains risk contagion between sectors. The risk spillover trend is consistent with that of systemic risk.

scholarly journals Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions

2020 ◽  
Vol 12 (10) ◽  
pp. 4000 ◽  
Author(s):  
Jianxu Liu ◽  
Quanrui Song ◽  
Yang Qi ◽  
Sanzidur Rahman ◽  
Songsak Sriboonchitta
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Systemic Risk ◽  
Decision Model ◽  
Global Financial Crisis ◽  
Joint Models ◽  
Policy Makers ◽  
Trading Decisions ◽  
The Global Financial Crisis ◽  
First Time

The global financial crisis in 2008 spurred the need to study systemic risk in financial markets, which is of interest to both academics and practitioners alike. We first aimed to measure and forecast systemic risk in global financial markets and then to construct a trade decision model for investors and financial institutions to assist them in forecasting risk and potential returns based on the results of the analysis of systemic risk. The factor copula-generalized autoregressive conditional heteroskedasticity (GARCH) models and component expected shortfall (CES) were combined for the first time in this study to measure systemic risk and the contribution of individual countries to global systemic risk in global financial markets. The use of factor copula-based models enabled the estimation of joint models in stages, thereby considerably reducing computational burden. A high-dimensional dataset of daily stock market indices of 43 countries covering the period 2003 to 2019 was used to represent global financial markets. The CES portfolios developed in this study, based on the forecasting results of systemic risk, not only allow spreading of systemic risk but may also enable investors and financial institutions to make profits. The main policy implication of our study is that forecasting systemic risk of global financial markets and developing portfolios can provide valuable insights for financial institutions and policy makers to diversify portfolios and spread risk for future investments and trade.

scholarly journals What Can Be Learned From Crisis-Era Protectionism? An Initial Assessment

2009 ◽  
Vol 11 (3) ◽  
pp. 1-26 ◽  
Author(s):  
Simon J. Evenett
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Policy Instruments ◽  
Initial Assessment ◽  
Economic Sectors ◽  
Comprehensive Database ◽  
The Global Financial Crisis

Drawing upon a comprehensive database of contemporary protectionism, this paper offers an initial assessment of the extent to which our understanding of protectionism may have to evolve. While some long-standing features of protectionism appear to have endured (such as the distribution of discriminatory measures across economic sectors), specific corporate needs arising from the global financial crisis and particular national attributes are more likely to have influenced the choice of beggar-thy-neighbor policy instruments than binding trade rules and other international accords.

scholarly journals Agricultural industry; new tendencies towards intensive grow light cultivation

2009 ◽  
pp. 20-25
Author(s):  
O.V. Ilin ◽  
T.O. Ilina ◽  
E.O. Semyachkina
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Climatic Changes ◽  
Energy Sector ◽  
Economic Effectiveness ◽  
Ecological Risks ◽  
New Approach ◽  
Plant Yield ◽  
Agricultural Industry ◽  
The Global Financial Crisis

In current-used agricultural techniques, the global financial crisis brings to light defects concerning high ecological risks and low economic effectiveness which is connected with climatic changes, energy sector and engineering specifications. In this work it is suggested a grow light cultivation to be a new approach for overcoming the ineffectiveness of some current agricultural techniques. Grow light cultivation is a way to maximize the potentiality enclosed in plant yield abilities.

scholarly journals Measuring Systemic Risk Contribution of International Mutual Funds

2019 ◽  
pp. 146-158
Author(s):  
Joshua Aizenman ◽  
Yothin Jinjarak ◽  
Huanhuan Zheng
Keyword(s):  
Mutual Funds ◽  
Systemic Risk ◽  
Mutual Fund ◽  
Global Financial Crisis ◽  
Financial System ◽  
Policy Implications ◽  
Fund Managers ◽  
Risk Contribution ◽  
The Global Financial Crisis ◽  
Global Financial System

The global financial crisis of 2007–09 has increased the attention of policymakers and academics on the scale and operation of interconnected financial systems, especially on what has become known as ‘too big to fail’ in the global financial system, including both bank and nonbanks. In this chapter, we study the systemic risk of the mutual fund sector in the global financial system. More specifically, this chapter provides new evidence of systemic risk contribution in the international mutual fund sector from 2000 to 2011. The empirical analysis tracks the systemic risk of 10,570 mutual funds investing internationally. The main findings suggest that the systemic risk contributions of international mutual funds are more than proportional given the fund’s size. Policy implications are discussed in terms of practicality of regulation, macroprudential approach, and risk-taking behaviour of fund managers.

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