Essays on risk management and systematic risk
AbstractAbstract: Through the creation of the Financial Stability Board (FSB), G20 members have committed to regulate the financial sector across the globe in order to enhance the resilience of the system. Two important points in this agenda are the regulation of OTC derivatives, such as Credit Default Swaps (CDS) and the regulation of Systemically Important Financial Institutions (SIFIs). The first two chapters of this thesis relate to the first point. These papers study the effects of the use of CDS at banks on banks' behavior and stability. The last chapter of the thesis addresses the second point. This chapter discusses the proper assessment of systemic risk, and the characteristics and performance of systemically important banks based on this assessment.
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5928388.
Date of creation: 2013
Date of revision:
Publication status: Published
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Web page: http://www.tilburguniversity.edu/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-BAN-2013-11-22 (Banking)
- NEP-CBA-2013-11-22 (Central Banking)
- NEP-RMG-2013-11-22 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Wagner, Wolf, 2010.
"Diversification at financial institutions and systemic crises,"
Journal of Financial Intermediation,
Elsevier, vol. 19(3), pages 373-386, July.
- Wagner, W.B., 2006. "Diversification at Financial Institutions and Systemic Crises," Discussion Paper 2006-71, Tilburg University, Center for Economic Research.
- René M. Stulz, 2009.
"Credit Default Swaps and the Credit Crisis,"
NBER Working Papers
15384, National Bureau of Economic Research, Inc.
- Wagner, Wolf, 2007. "The liquidity of bank assets and banking stability," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 121-139, January.
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