کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10487992 | 936758 | 2013 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Systemic risk analysis using forward-looking Distance-to-Default series
ترجمه فارسی عنوان
تجزیه و تحلیل ریسک سیستماتیک با استفاده از سری پیش بینی به فاصله تا پیش فرض
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی
Based on Contingent Claims Analysis, this paper develops a method to monitor systemic risk in the European banking system. Aggregated Distance-to-Default series are generated using option prices information from systemically important banks and the STOXX Europe 600 Banks Index. These indicators provide methodological advantages in monitoring vulnerabilities in the banking system over time: (1) they capture interdependence and joint risk of distress in systemically important banks; (2) their forward-looking feature endow them with early signaling properties compared to traditional approaches in the literature and other market-based indicators; (3) they produce simultaneously smooth and informative long-term signals and quick and clear reaction to market distress and (4) they incorporate additional information through option prices about tail risk and correlation breaks, in line with recent findings in the literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 9, Issue 4, December 2013, Pages 498-517
Journal: Journal of Financial Stability - Volume 9, Issue 4, December 2013, Pages 498-517
نویسندگان
MartÃn SaldÃas,