Systemic risk and financial regulations: A theoretical perspective

Prasch, Robert E.; Warin, Thierry

doi:10.1057/jbr.2015.4

Cited by 5 publications

(2 citation statements)

References 20 publications

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“…On the one hand, the modern portfolio theory assumes that the diversification principle holds: as financial markets become more complete, the system becomes more stable (e.g., Wagner and Lau 1971). On the other hand, risks are a necessary accompaniment of the more complex interactions between euro area banks (e.g., Prasch and Warin 2016). Hence, the deeper the financial markets, the less realistic is the diversification principle and the higher the total risk.…”

Section: Banks' Foreign Claims: Indicators Of Systemic Risk or Financial Instability?mentioning

confidence: 99%

Banks’ Foreign Claims in the Aftermath of the 2008 Crisis: Institutional Response, Financial Efficiency, and Integration of Cross-Border Banking in the Euro Area

Warin

Stojkov

2021

JRFM

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Beyond financial stability as the European Banking Union’s primary objective, the European capital market integration provides an impetus for deepening bank integration and greater financial market efficiency. This article proposes an empirical framework to assess the dynamics of euro area banks’ business networking. We use banks’ foreign claims across Europe, particularly the euro area, to see how banks react to various macroeconomic signals. Banks’ foreign claims are particularly interesting due to their sensitivity. One of the main conclusions is that the euro area has seen a reallocation of capital in the aftermath of the 2008 crisis. The financial picture of Europe is different after the recent financial crisis. Although we observe a re-concentration of capital from the periphery to the core countries, we also observe some signs of recovered confidence within the European banking framework for macro-prudential reasons.

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Section: Banks' Foreign Claims: Indicators Of Systemic Risk or Financial Instability?mentioning

confidence: 99%

Banks’ Foreign Claims in the Aftermath of the 2008 Crisis: Institutional Response, Financial Efficiency, and Integration of Cross-Border Banking in the Euro Area

Warin

Stojkov

2021

JRFM

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“…Additionally, a burgeoning literature on agent-based financial market models emerged, allowing various interactions between chartists and fundamentalists (e.g., Day and Huang 1990). Thanks to ML techniques, induction generates causal relationships based on information at the moment of estimation (Popper 1962;Warin 2005). These causal relationships are at the root of the predictive power of ML models.…”

Section: Introductionmentioning

confidence: 99%

Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature

Warin

Stojkov

2021

JRFM

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Machine learning in finance has been on the rise in the past decade. The applications of machine learning have become a promising methodological advancement. The paper’s central goal is to use a metadata-based systematic literature review to map the current state of neural networks and machine learning in the finance field. After collecting a large dataset comprised of 5053 documents, we conducted a computational systematic review of the academic finance literature intersected with neural network methodologies, with a limited focus on the documents’ metadata. The output is a meta-analysis of the two-decade evolution and the current state of academic inquiries into financial concepts. Researchers will benefit from a mapping resulting from computational-based methods such as graph theory and natural language processing.

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Does a one-size-fits-all approach to financial regulations alleviate default risk? The case of dual banking systems

et al. 2017

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Systemic risk and financial regulations: A theoretical perspective

Cited by 5 publications

References 20 publications

Banks’ Foreign Claims in the Aftermath of the 2008 Crisis: Institutional Response, Financial Efficiency, and Integration of Cross-Border Banking in the Euro Area

Banks’ Foreign Claims in the Aftermath of the 2008 Crisis: Institutional Response, Financial Efficiency, and Integration of Cross-Border Banking in the Euro Area

Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature

Does a one-size-fits-all approach to financial regulations alleviate default risk? The case of dual banking systems

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