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漢青論壇第286期:9月18日 Giovanni Calice副教授
(漢青經濟與金融高級研究院發布于:2019-09-12 09:27:44)


漢青論壇第286期:9月18日 Giovanni Calice副教授

本期主題:Have Systemically Important Financial Institutions Gotten Riskier

 

摘要:

In this paper, we analyse the intertemporal pattern of systemic risk for a group of systemically important financial institutions (SIFIs). By using a large set of financial market indicators of risk and the SRISK measure, we examine the evolution of systemic risk for SIFIs as well as for large, global asset management firms (AMFs) over a period before and after the financial crisis of 2008 and 2009. An important number of results emerge from the analysis. First, very surprisingly, we find that the overall riskiness and contribution to systemic risk of global systemically important banks and internationally active insurance firms has increased in the post-crisis period. Second, we show a significant similar trend also for the internationally active insurance firms. Third, and somewhat strikingly, the SRISK measure does not seem to capture effectively the contribution to systemic risk of large, global AMFs. While some of our market-based and leverage measures provide some support in favour of increased systemic risk post crisis, the SRISK measure is therefore uninformative about systemic risk of both individual AMFs and of the entire AMF sector. Overall, our evidence suggests that the SRISK measure is unable to explain variations in systemic risk for AMFs. Further research is therefore warranted to develop new measures of financial fragility specifically designed for the AMF sector. These findings also suggest that financial regulators should have a stronger focus on risks arising from SIFIs to further strengthen the resilience of the financial sector.

 

報告人:Giovanni Calice副教授, 拉夫堡大學

時間:9月18日(周三) 12:15

地點:明德主樓515教師交流室

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報告人簡介:

Giovanni Calice is Senior Lecturer in Finance at the School of Business and Economics. Prior to joining Loughborough University, he held posts at the University of Birmingham and the University of Southampton. He holds a PhD in Economics from the University of Bath. Giovanni’s research spans several areas, including financial markets and institutions, financial innovation and financial stability. His recent research focuses on tests of idiosyncratic sovereign risk, analysis of systemic risk in the financial sector, market liquidity and asset pricing.


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