Technical paper/Financial crisis
Bonus caps and bankers’ risk-taking
The authors investigate the relationship between bankers' risk-taking and bonus caps, finding negligible evidence that bonus caps reduce risk taking at the median bank.
Unraveling Lebanon’s financial crisis: the path from promise to peril, delving into a risk strategist’s own experience
On the contagion effect between crude oil and agricultural commodity markets: a dynamic conditional correlation and spectral analysis
Understanding and predicting systemic corporate distress: a machine-learning approach
Value-at-risk models: a systematic review of the literature
The authors conduct a systematic literature review of value-at-risk models to determine which models are most often used and whether any change in model popularity occurred after the 2007-9 financial crisis.
Managerial connections and corporate risk-taking: evidence from the Great Recession
Using the the 2007-9 Great Recession as an example, the authors investigate the relationship between managers’ connections, corporate risk-taking and corporate performance during a period of crisis.
Value-at-risk and the global financial crisis
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…
How a credit run affects asset correlation
This paper analyzes how soaring demand in the lending market shortly before a financial crisis can affect one of the main parameters in the internal ratings-based approach: the asset correlation.
Preventing the unpleasant: fraudulent financial statement detection using financial ratios
In this paper, the authors investigate financial fraud in companies listed on the Athens Stock Exchange during the period 2008–18 and propose a model to detect fraudulent financial statements.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
Credit default swap market retrospective: observations from the 2008–9 financial crisis and the onset of the Covid-19 pandemic
In this paper credit market fluctuations, measured by the levels of the main and most heavily traded index instruments, are analyzed and compared with the analogous index realizations during the 2008–9 financial crisis.
Using payments data to nowcast macroeconomic variables during the onset of Covid-19
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…
Bank supervision: lessons from the post-2008 banking crisis
This paper considers the learning points from official third-party reports produced in the wake of supervisory failures that can be applied to the management of front-line bank supervisors.
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
This paper aims to simplify the early warning model for financial crises by collecting and analyzing the financial data of Chinese special treatment (ST) companies, normally listed companies and cancel special treatment (CST) companies.
Brent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.
Debt and the oil industry: analysis on the firm and production level
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.
Measuring the systemic risk of China’s banking sector: an application of differential DebtRank
This paper investigates the systemic risk of China’s banking sector via network analysis and differential DebtRank from 2007 to 2016.
Central counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
This paper analyzes whether in Italy the price of consumer loans is based on borrower-specific credit risk.
Winning investment strategies based on financial crisis indicators
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
A three-state early warning system for the European Union
In this paper, the authors develop an early warning system for forecasting a financial crisis of the magnitude of the 2007–8 crisis for the European Union (the EU14).