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.

A Crisis of Banks as Liquidity Providers (2013)
Acharya, V. and N. Mora, Journal of Finance, forthcoming, NYU Working Paper No. 2451/31364.
The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010 (2013)
Hagströmer, B. (Stockholm University), Hansson, B. (Lund University) and B. Nilsson (Lund University), Journal of Banking and Finance, 37(11), 4476-4487
Stress testing credit risk: The Great Depression scenario (2012)
Varotto, S. (ICMA Centre), Journal of Banking and Finance 36 (12), 3133-3149
Systemic risk, Basel III, global financial stability and regulation (2012)
Bruce R. Arnold, Claudio Borio, Luci Ellis and Fariborz Moshirian, Journal of Banking and Finance 36 (12), 3123-3124
The future and dynamics of global systemically important banks (2012)
Moshirian, F., Journal of Banking and Finance 36 (10), 2675-2679
Short-term wholesale funding and systemic risk: A global CoVaR approach (2012)
Lopez-Espinosa, G. (University of Navarra), Moreno, A. (University of Navarra), Rubina, A. (University of Alicante) and L. Valderrama (International Monetary Fund), Journal of Banking and Finance 36 (12), 3150–3162
Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy (2012)
Affinito, M. (Bank of Italy), Journal of Banking and Finance 36 (12), 3163–3184
Banking risk and regulation: Does one size fit all? (2012)
Klomp, J. (Wageningen University) and J. de Haan (De Nederlandsche Bank, University of Groningen) , Journal of Banking and Finance 36 (12), 3197-3212
Risk management, corporate governance, and bank performance in the financial crisis (2012)
Aebi, V. (Swiss Institute of Banking and Finance), Sabato, G. (Royal Bank of Scotland), and M. Schmid (University of Mannheim) , Journal of Banking and Finance 36 (12), 3213-3226