Marking-to-market government guarantees to financial systems – Theory and evidence for Europe

Baglioni, Angelo; Cherubini, Umberto

doi:10.1016/j.jimonfin.2012.08.004

Cited by 12 publications

(15 citation statements)

References 14 publications

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“…. , d}, denote 2 d−1 independent real-valued random variables whose distribution functions depend only on the cardinality of E. More precisely, we show that (a) any random vector X defined by (2) with continuous marginal distributions has a (unique) copula of type (1) and that (b) any copula of the form (1) represents the distribution function of a random vector X that can be constructed as in (2). Put differently, as the copula of a random vector X is the survival copula of −X, copulas of type (1) characterize precisely the set of survival copulas of random vectors (X 1 , .…”

Section: Introductionmentioning

confidence: 95%

Exchangeable exogenous shock models

Mai¹,

Schenk²,

Scherer³

2016

Bernoulli

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We characterize a comprehensive family of d-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the arguments. Necessary and sufficient conditions on the involved distortions to yield a multivariate distribution function are given. Probabilistically, the attainable set of distribution functions corresponds to a large class of exchangeable exogenous shock models. Besides, the vector of exceedance times of an increasing additive stochastic process across independent exponential trigger variables is shown to constitute an interesting subclass of the considered distributions and yields a second probabilistic model. The alternative construction is illustrated in terms of two examples.

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Section: Introductionmentioning

confidence: 95%

Exchangeable exogenous shock models

Mai¹,

Schenk²,

Scherer³

2016

Bernoulli

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“…The main methodological differences between this paper and the previous works [3] and [4] are that we do not assume parametric distributions for the marginal default probabilities. We mainly focus our attention on the dependence structure and the impact of the systematic component on cross-border systemic risk.…”

Section: Literature Reviewmentioning

confidence: 96%

“…There is a limited literature on the use of the MO copula for modelling systemic risk. [3] propose a new financial stability index (named Cuadras and Augé index) to measure the fragility of the banking sector in a given country. Time to failure for a bank is assumed to follow an exponential distribution.…”

Section: Literature Reviewmentioning

confidence: 99%

“…We propose to apply the copula approach to measure systemic risk between the banking sectors of two countries. To our knowledge, the only papers that previously applied copulae to assess banking system stability are [3], [4], [61] and [64]. In other words, the approach is quite novel to the area of banking and systemic risk.…”

Section: Introductionmentioning

confidence: 99%

“…To the best of our knowledge, this is the first paper that proposes an approach to estimate the contributions of idiosyncratic and systematic shocks to cross-border systemic risk. [3] also use the MO copula to propose an index that represents the average impact of systematic and idiosyncratic risk, but they are focused on the financial system in a given country, not on cross-border systemic risk.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

A new approach to measure systemic risk: A bivariate copula model for dependent censored data

Calabrese

Osmetti

2019

European Journal of Operational Research

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We propose a novel approach based on the Marshall-Olkin (MO) copula to estimate the impact of systematic and idiosyncratic components on crossborder systemic risk. To use the data on non-failed banks in the suggested method, we consider the time to bank failure as a censored variable. Therefore, we propose a pseudo-maximum likelihood estimation procedure for the MO copula for a Type I censored sample. We derive the log-likelihood function, the copula parameter estimator and the bootstrap confidence intervals. Empirical data on the banking system of three European countries (Germany, Italy and the UK) shows that the proposed censored model can accurately estimate the systematic component of cross-border systemic risk.

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Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe

Baglioni

Cherubini

2013

Journal of Economic Dynamics and Control

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Marking-to-market government guarantees to financial systems – Theory and evidence for Europe

Cited by 12 publications

References 14 publications

Exchangeable exogenous shock models

Exchangeable exogenous shock models

A new approach to measure systemic risk: A bivariate copula model for dependent censored data

Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe

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