Interconnectedness and Systemic Risk

Since the Global Financial Crisis, the Associate Researchers of IGF have published quite a nuumber of influencial research works on gloal systemic risk. The IGF has published major research works as part of its international conference on systemic risk in 2011. This work was published as a special issue of the Journal of Banking and Finance. The editors of this work are Luci Ellis, Head of Financial Stability at the Reserve Bank of Australia, Claudio Borio, Head of Research of the BIS and Bruce Arnold, Acting Head of Research at APRA. The contributors to this publication included researchers from the following financial institutions: the Bank for International Settlements, the Reserve Bank of Australia, the Bank of Italy, the Royal Bank of Scotland, the International Monetary Fund and the De Nederlandsche Bank. There have been further studies and research work in this area, in colloboration with NYU Institute of Valatility and Risk as well as some eminents scholars. Furthermore, the IGF has two major international conference on systemic risk and interconnectedness with the Asian Development Bank in 2017 and 2018.

Guarantees, transparency and the interdependency between sovereign and bank default risk (2014)
Anand, K. (Bank of Canada), Heinemann, F. (Technische Universität Berlin) and P. König (DIW Berlin), Journal of Banking and Finance, 45 C, 321-337
Mapping the UK interbank system (2014)
Langfield, S. (European Systemic Risk Board), Liu, Z. (Bank of England) and T. Ota (Bank of England), Journal of Banking and Finance, forthcoming
Risky adjustments or adjustments to risks: Decomposing bank leverage (2014)
Koch, C. (University of Zurich), Journal of Banking and Finance, 45, 242–254
Predicting distress in European banks (2014)
Betz, F. (European Investment Bank), Oprica, S. (Goethe Universitat Frankfurt), Peltonen, T. (European Centreal Bank), and P. Sarlin (Abo Akademi University), Journal of Banking and Finance, 45, 225–241
Determinants of financial stress in emerging market economies (2014)
Mercado, R. (Asian Development Bank) and C. Park (Asian Development Bank), Journal of Banking and Finance, 45, 199-224
Measuring systemic risk-adjusted liquidity (SRL) – A model approach (2014)
Jobst, A. (IMF), Journal of Banking and Finance, 45, 270–287
A market-based approach to sector risk determinants and transmission in the euro area (2013)
Saldías, M. (Banco de Portugal and Católica Lisbon Research Unit), Journal of Banking and Finance, 37(11), 4534-4555
SAFE: An early warning system for systemic banking risk (2013)
Oet, M. (Federal Reserve Bank of Cleveland), Bianco, T. (Federal Reserve Bank of Cleveland), Gramlich, D. (Baden-Wuerttemberg Cooperative State University) and S. Ong (Federal Reserve Bank of Cleveland), Journal of Banking and Finance, 37(11), 4510-4533
Systematic liquidity and the funding liquidity hypothesis (2013)
Qian, X. (University of Macau), Tam, L. (University of Macau) and B. Zhang (University of New South Wales), Journal of Banking and Finance, 45, 304–320
Does Stock Liquidity Enhance or Impede Firm Innovation? (2013)
Fang, V., Tian, X. and S. Tice, Journal of Finance, 69(5), 2085–2125

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