scholarly journals CoMap

2019 ◽  
Vol 2019 (102) ◽  
Author(s):  
Mehmet Ziya Gorpe ◽  
Giovanni Covi ◽  
Christoffer Kok
Keyword(s):  
Euro Area ◽  
Systemic Risk ◽  
Banking System ◽  
Tipping Points ◽  
Exogenous Shock ◽  
Mapping Model ◽  
Novel Approach ◽  
Level Data ◽  
Global Banking ◽  
Unique Dataset

This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

scholarly journals Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

2021 ◽  
Author(s):  
Sheri Markose ◽  
Simone Giansante ◽  
Nicolas A. Eterovic ◽  
Mateusz Gatkowski
Keyword(s):  
Early Warning ◽  
Systemic Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Market Price ◽  
System Stability ◽  
Conditional Value At Risk ◽  
Centrality Measures ◽  
Global Banking ◽  
Pair Method

AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes, viz. Marginal Expected Shortfall, Delta Conditional Value-at-Risk, and Conditional Capital Shortfall Measure of Systemic Risk in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogous to the R number in epidemic models. For this regulatory capital thresholds are used. Furthermore, network centrality measures identify systemically important and vulnerable banking systems. Market price-based SRIs are contemporaneous with the crisis and they are found to covary with risk measures like VaR and betas.

scholarly journals A Digital Currency Architecture for Privacy and Owner-Custodianship

2021 ◽  
Vol 13 (5) ◽  
pp. 130
Author(s):  
Geoffrey Goodell ◽  
Hazem Danny Al-Nakib ◽  
Paolo Tasca
Keyword(s):  
Systemic Risk ◽  
Banking System ◽  
Developed Countries ◽  
Fractional Reserve Banking ◽  
Point Of Sale ◽  
Digital Currency ◽  
Fractional Reserve ◽  
Banking Relationships ◽  
Reserve Banking ◽  
Payment Mechanisms

In recent years, electronic retail payment mechanisms, especially e-commerce and card payments at the point of sale, have increasingly replaced cash in many developed countries. As a result, societies are losing a critical public retail payment option, and retail consumers are losing important rights associated with using cash. To address this concern, we propose an approach to digital currency that would allow people without banking relationships to transact electronically and privately, including both e-commerce purchases and point-of-sale purchases that are required to be cashless. Our proposal introduces a government-backed, privately-operated digital currency infrastructure to ensure that every transaction is registered by a bank or money services business, and it relies upon non-custodial wallets backed by privacy-enhancing technology, such as blind signatures or zero-knowledge proofs, to ensure that transaction counterparties are not revealed. Our approach to digital currency can also facilitate more efficient and transparent clearing, settlement, and management of systemic risk. We argue that our system can restore and preserve the salient features of cash, including privacy, owner-custodianship, fungibility, and accessibility, while also preserving fractional reserve banking and the existing two-tiered banking system. We also show that it is possible to introduce regulation of digital currency transactions involving non-custodial wallets that unconditionally protect the privacy of end-users.

scholarly journals Systemic risk in the European sovereign and banking system

2016 ◽  
Vol 17 (4) ◽  
pp. 633-656 ◽  
Author(s):  
Simon Xu ◽  
Francis In ◽  
Catherine Forbes ◽  
Inchang Hwang
Keyword(s):  
Systemic Risk ◽  
Banking System

Want to reduce the bullwhip? Measure it. Here’s how

2017 ◽  
Vol 22 (4) ◽  
pp. 297-304 ◽  
Author(s):  
Ming Jin ◽  
Nicole DeHoratius ◽  
Glen Schmidt
Keyword(s):  
Small Perturbation ◽  
Design Methodology ◽  
Bullwhip Effect ◽  
End Users ◽  
Social Implications ◽  
Content Type ◽  
Novel Approach ◽  
Level Data ◽  
Beer Game ◽  
Practical Implications

Purpose The popular “beer game” illustrates the bullwhip effect where a small perturbation in downstream demand can create wild swings in upstream product flows. The purpose of this paper is to present a methodical framework to measure the bullwhip effect and evaluate its impact. Design/methodology/approach This paper illustrates a framework using SKU-level data from an industry-leading manufacturer, its distributors, end-users and suppliers. Findings Firms benefit from tracking multiple intra-firm bullwhips and from tracking bullwhips pertinent to specific products, specific suppliers and specific customers. The framework presented in this paper enables managers to pinpoint bullwhip sources and mitigate bullwhip effects. Research limitations/implications This paper presents a framework for methodically measuring and tracking intra-firm and inter-firm bullwhips. Practical implications A disconnect exists between what is known and taught regarding the bullwhip effect and how it is actually tracked and managed in practice. This paper aims to reduce this gap. For the various products analyzed herein, the authors show how using this framework has the potential to reduce delivered product cost by 2 to 15 per cent. Social implications Properly managing the bullwhip leads to lower inventories and potentially lower product prices while simultaneously increasing firm profits. Originality/value This paper presents a novel approach to systematically tracking intra-firm bullwhips along with bullwhips specific to a given supplier or customer.

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