 | Breaking the Bank? A Probabilistic Assessment of Euro Area Bank Profitability Author/Editor: Selim Elekdag, Sheheryar Malik, Srobona Mitra. Release Date:November, 2019 This paper explores the determinants of profitability across large euro area banks using a novel approach based on conditional profitability distributions. Real GDP growth and the NPL ratio are shown more...
| Price: $18.00
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| The Drivers of Hedge Fund Interconnectedness Author/Editor: Dilyana Dimova, Sheheryar Malik, Miguel A Segoviano Basurto. Release Date:March, 2019 We study the drivers of interconnectedness among hedge fund strategies. Using the comovement box approach, we find evidence of interconnectedness across all hedge fund strategies and especially more...
| Price: $18.00
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| The Term Structure of Growth-at-Risk Author/Editor: Tobias Adrian, Federico Grinberg, Nellie Liang, Sheheryar Malik. Release Date:August, 2018 Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk more...
| Price: $18.00
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| A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN) Author/Editor: Fabio Cortes, Peter Lindner, Sheheryar Malik, Miguel A Segoviano Basurto. Release Date:January, 2018 This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, more...
| Price: $18.00
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| Assessing Loss of Market Access: Conceptual and Operational Issues Author/Editor: Anastasia Guscina, Sheheryar Malik, Michael G Papaioannou. Release Date:November, 2017 Loss of market access (LMA) is a central element and an exacerbator of balance of payments and fiscal crises. This paper provides an operational definition of LMA, examines the predictive power of more...
| Price: $18.00
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| Interconnectedness of Global Systemically-Important Banks and Insurers Author/Editor: Sheheryar Malik, TengTeng Xu. Release Date:September, 2017 Interconnectedness among global systemically important banks (GSIBs) and global systemically important insurers (GSIIs) has important financial stability implications. This paper examines more...
| Price: $18.00
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| On Swing Pricing and Systemic Risk Mitigation Author/Editor: Sheheryar Malik, Peter Lindner. Release Date:July, 2017 Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity more...
| Price: $18.00
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