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Singapore Management University

Systemic risk

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Full-Text Articles in Finance and Financial Management

An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop Dec 2019

An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop

Sim Kee Boon Institute for Financial Economics

AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing: border-box; display: inline; font-style: normal; font-weight: normal; line-height: normal; font-size: 18px; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; position: relative;">λλ) of a linear quantile lasso regression. The FRM is calculated by taking the average …


The Effect Of Monetary Policy On Bank Wholesale Funding, Hyunsoo Choi, Hyun Soo Choi Dec 2016

The Effect Of Monetary Policy On Bank Wholesale Funding, Hyunsoo Choi, Hyun Soo Choi

Research Collection Lee Kong Chian School Of Business

We study how monetary policy affects the funding composition of the banking sector. When monetary tightening reduces the retail deposit supply due to, for example, a decrease in bank reserves or in money demand, banks try to substitute the deposit outflows with more wholesale funding in order to mitigate the policy impact on their lending. Banks have varying degrees of accessibility to wholesale funding sources because of financial frictions, and those banks that are large or that have a greater reliance on wholesale funding increase their wholesale funding more. As a result, monetary tightening increases both the reliance on and …


The Effect Of Monetary Policy On Bank Wholesale Funding, Hyunsoo Choi, Hyun Soo Choi Dec 2016

The Effect Of Monetary Policy On Bank Wholesale Funding, Hyunsoo Choi, Hyun Soo Choi

Research Collection Lee Kong Chian School Of Business

We study how monetary policy affects the funding composition of the banking sector. When monetary tightening reduces the retail deposit supply due to, for example, a decrease in bank reserves or in money demand, banks try to substitute the deposit outflows with more wholesale funding in order to mitigate the policy impact on their lending. Banks have varying degrees of accessibility to wholesale funding sources because of financial frictions, and those banks that are large or that have a greater reliance on wholesale funding increase their wholesale funding more. As a result, monetary tightening increases both the reliance on and …