Kooperativer Bibliotheksverbund

UID:

Umfang: XXIII, 334 p. 66 illus., 41 illus. in color. , online resource.

Ausgabe: 1st ed. 2024.

ISBN: 9783031548093

Inhalt: This book provides an analysis of various sources and forms of systemic financial risk. It focuses on the most pressing research questions for both advanced and emerging market economies, including green finance, ESG agenda and related risks, international financial connectivity across countries and financial institutions, and catastrophic risks modeling. Part 1 considers emerging research issues in risk assessment and management, including new approaches to measuring financial development, trends and prospects of green finance, and cross-country financial spillovers. Part 2 casts a more nuanced look at the quantitative models and methods adopted in risk assessment and risk management, putting such issues as measuring catastrophic risks, liquidity mismatches as well as modeling probabilities of default and the impact of macroeconomic fundamentals on capital adequacy ratios in the Russian banking sector in the spotlight. Finally, Part 3 discusses the new regulatory challenges dealing with risk assessment and risk management, such as macroprudential policies which have proved efficient to mitigate systemic risk are investigated. The book offers a comprehensive picture of the challenges which emerging market economies are facing in the field of financial risk assessment and management. Specifically, the challenges are discussed in the context of elaborated models and policy responses, which are based on the up-to-date theoretical contributions and empirical evidence from various fields, making the book relevant to professors, researchers, graduate students, and practitioners of risk management, international finance, and financial services. Alexander Karminsky is a Research Professor in the Faculty of Economic Sciences/School of Finance at HSE University. Prof. Karminsky is also in charge of the Laboratory of Financial Innovation and Risk Management at HSE University. He is a distinguished scholar in the field of banking, risk management, and innovations research. He has authored a number of publications in international peer-reviewed journals and monographs. Prof. Karminsky is a member of organizing and scientific committees of important conferences and workshops in the field of finance and risk management both in Russia and abroad. Mikhail Stolbov is Chair of the Department of Applied Economics and Professor in the Economics and Banking Business Department at MGIMO University. Since 2015, he is a distinguished professor of the Russian Academy of Sciences. His research focuses on financial stability, systemic risk, finance-growth nexus and green finance. Prof. Stolbov has a number of publications in leading peer-reviewed journals, both domestic and international. Prof. Stolbov regularly delivers talks at influential conferences in the field of international finance, financial stability and empirical macroeconomics in Russia and abroad.

Anmerkung: Part I. New Trends in International Financial Development and Risk Assessment -- Chapter 1. Adapted Approaches to Measuring Financial Development Konstantin Krinichansky -- Chapter 2. Green Finance: Trends, Prospects and Risks Svetlana Pertseva , Anna Vityazeva -- Chapter 3. Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach Onur Polat -- Chapter 4. Household Income and Financial Stability of the Russian Banking Sector Olga Miroshnichenko, Maria Vyshkovskaia, Valeriy Gamukin -- Chapter 5. The impact of ESG rating on companies' resilience to systemic risks Alexandra Egorova, Herman Petrov-Nerling -- Part II. Quantitative Methods and Models in Emerging Markets' Risk Management -- Chapter 6. New Ways of Measuring Catastrophic Risk Vigen Minasyan -- Chapter 7. Measuring Market Liquidity and Liquidity Mismatches across Sectors Artur Akhmetov, Anna Burova, Natalia Makhankova, and Alexey Ponomarenko -- Chapter 8.The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation Olga Miroshnichenko, Maria Vyshkovskaia -- Chapter 9. Assessing the Probability of Default during the COVID-19 Pandemic: the case of airlines Elizaveta Markovskaya, Elena Smolina -- Part III. New Challenges in Systemic Risk Assessment and Regulation -- Chapter 10. Macroprudential Policy: Tools and Evaluation of the Effectiveness of Measures for Systemic Risks Management Ekaterina Seryakova -- Chapter 11. Financial Resolution of Banks in Distress: International Evidence Nataliya Kovaleva, Oksana Petrova -- Chapter 12. Digital Systemic Financial Risks in the Russian Banking Sector Sergey Dubinin -- Conclusion .

In: Springer Nature eBook

Weitere Ausg.: Printed edition: ISBN 9783031548086

Weitere Ausg.: Printed edition: ISBN 9783031548109

Weitere Ausg.: Printed edition: ISBN 9783031548116

Sprache: Englisch

DOI: 10.1007/978-3-031-54809-3

URL: https://doi.org/10.1007/978-3-031-54809-3

URL: Volltext  (URL des Erstveröffentlichers)

UID:

Umfang: 1 Online-Ressource (xiii, 334 Seiten) , Illustrationen

ISBN: 9783031548093

Inhalt: This book provides an analysis of various sources and forms of systemic financial risk. It focuses on the most pressing research questions for both advanced and emerging market economies, including green finance, ESG agenda and related risks, international financial connectivity across countries and financial institutions, and catastrophic risks modeling. Part 1 considers emerging research issues in risk assessment and management, including new approaches to measuring financial development, trends and prospects of green finance, and cross-country financial spillovers. Part 2 casts a more nuanced look at the quantitative models and methods adopted in risk assessment and risk management, putting such issues as measuring catastrophic risks, liquidity mismatches as well as modeling probabilities of default and the impact of macroeconomic fundamentals on capital adequacy ratios in the Russian banking sector in the spotlight. Finally, Part 3 discusses the new regulatory challenges dealing with risk assessment and risk management, such as macroprudential policies which have proved efficient to mitigate systemic risk are investigated. The book offers a comprehensive picture of the challenges which emerging market economies are facing in the field of financial risk assessment and management. Specifically, the challenges are discussed in the context of elaborated models and policy responses, which are based on the up-to-date theoretical contributions and empirical evidence from various fields, making the book relevant to professors, researchers, graduate students, and practitioners of risk management, international finance, and financial services. Alexander Karminsky is a Research Professor in the Faculty of Economic Sciences/School of Finance at HSE University. Prof. Karminsky is also in charge of the Laboratory of Financial Innovation and Risk Management at HSE University. He is a distinguished scholar in the field of banking, risk management, and innovations research. He has authored a number of publications in international peer-reviewed journals and monographs. Prof. Karminsky is a member of organizing and scientific committees of important conferences and workshops in the field of finance and risk management both in Russia and abroad. Mikhail Stolbov is Chair of the Department of Applied Economics and Professor in the Economics and Banking Business Department at MGIMO University. Since 2015, he is a distinguished professor of the Russian Academy of Sciences. His research focuses on financial stability, systemic risk, finance-growth nexus and green finance. Prof. Stolbov has a number of publications in leading peer-reviewed journals, both domestic and international. Prof. Stolbov regularly delivers talks at influential conferences in the field of international finance, financial stability and empirical macroeconomics in Russia and abroad

Anmerkung: Includes index , Part I. New Trends in International Financial Development and Risk Assessment -- Chapter 1. Adapted Approaches to Measuring Financial Development Konstantin Krinichansky -- Chapter 2. Green Finance: Trends, Prospects and Risks Svetlana Pertseva , Anna Vityazeva -- Chapter 3. Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach Onur Polat -- Chapter 4. Household Income and Financial Stability of the Russian Banking Sector Olga Miroshnichenko, Maria Vyshkovskaia, Valeriy Gamukin -- Chapter 5. The impact of ESG rating on companies' resilience to systemic risks Alexandra Egorova, Herman Petrov-Nerling -- Part II. Quantitative Methods and Models in Emerging Markets’ Risk Management -- Chapter 6. New Ways of Measuring Catastrophic Risk Vigen Minasyan -- Chapter 7. Measuring Market Liquidity and Liquidity Mismatches across Sectors Artur Akhmetov, Anna Burova, Natalia Makhankova, and Alexey Ponomarenko -- Chapter 8.The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation Olga Miroshnichenko, Maria Vyshkovskaia -- Chapter 9. Assessing the Probability of Default during the COVID-19 Pandemic: the case of airlines Elizaveta Markovskaya, Elena Smolina -- Part III. New Challenges in Systemic Risk Assessment and Regulation -- Chapter 10. Macroprudential Policy: Tools and Evaluation of the Effectiveness of Measures for Systemic Risks Management Ekaterina Seryakova -- Chapter 11. Financial Resolution of Banks in Distress: International Evidence Nataliya Kovaleva, Oksana Petrova -- Chapter 12. Digital Systemic Financial Risks in the Russian Banking Sector Sergey Dubinin -- Conclusion .

Weitere Ausg.: ISBN 9783031548086

Sprache: Englisch

URL: lizenzpflichtig

UID:

Umfang: 1 online resource (347 pages)

Ausgabe: First edition.

ISBN: 9783031548093

Anmerkung: Intro -- Preface -- Acknowledgements -- Contents -- Editors and Contributors -- About the Editors -- Contributors -- List of Figures -- List of Tables -- Part I New Trends in International Financial Development and Risk Assessment -- 1 Adapted Approaches to Measuring Financial Development -- 1.1 Introduction -- 1.2 Approaches to Measuring Financial Development -- 1.3 Distortions of Financial Development Assessments -- 1.4 Empirical Analysis of the Relationship Between Financial Development and Growth with Adjusted Depth Metrics -- 1.5 Conclusion -- References -- 2 Green Finance: Trends, Risks and Regulation -- 2.1 Introduction -- 2.2 Material and Method -- 2.3 Conclusion -- References -- 3 Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach -- 3.1 Introduction and Literature Review -- 3.2 Data -- 3.3 Methodology -- Asymmetric Connectedness -- 3.4 Empirical Findings -- Average Connectedness Results -- Time-Varying Connectedness -- Dynamic Net Directional Connectedness -- 3.5 Conclusion -- References -- 4 Household Income and Financial Stability of the Banking Sector: Data from Russia -- 4.1 Introduction -- 4.2 Theoretical Background -- 4.3 Methodology -- Financial Stability Index -- Regression Model -- 4.4 Results -- 4.5 Conclusions -- Appendix A -- Appendix B -- References -- 5 The Impact of ESG Rating on Companies' Resilience to Systemic Risks -- 5.1 Introduction -- 5.2 Literature Review -- 5.3 Data -- 5.4 Results -- 5.5 Conclusion -- References -- Part II Quantitative Methods and Models in Emerging Markets' Risk Management -- 6 New Ways of Measuring Catastrophic Risk -- 6.1 Introduction -- 6.2 Distortion Risk Measures -- Distortion Functions -- Distortion Risk Measures -- Distortion Risk Measures VaR to the Power of t, t ge1, (VaRp(t) ). , The Concept of VaR to Any Natural Power VaR(n) -- Risk Measures "Poly-VaR" -- Risk Measure VaR to Any Real Power t ≥ 1, VaRp(t) [X] -- New Risk Measures ES to Any Power of t, t ≥ 1,ESp(t) [X] -- 6.3 Methods for Creating New Distortion Functions and Distortion Risk Measures -- Composite Method -- 6.4 Conclusions -- References -- 7 Measuring Market Liquidity and Liquidity Mismatches Across Sectors -- 7.1 Introduction -- 7.2 Literature Review -- The Demand for Risky Financial Assets Is a Source of Investment Financing, While Savings Alone Are Not -- The Dominance of Market-Based Financing May Provide More Benefits than Bank-Based Financing -- Multidimensionality of the Concept of Liquidity in the Context of the Development of Financial Markets -- Trends in the Formation of Market Liquidity -- The Liquidity Mismatch Concept as an Indicator of Liquidity Risk Taking -- 7.3 Data -- 7.4 Empirical Analysis of the Liquidity of Financial Assets and Liabilities for Various Structures of the Financial System -- Structure of Liabilities of Non-financial Corporations -- Market Liquidity of Financial Instruments in Different Countries -- Stock Markets -- Government Bond Market -- Principles of the Liquidity Index Creation -- Liquidity Index of Non-financial Corporations -- Liquidity Indices for Other Sectors of the Economy -- 7.5 Conclusion -- Appendix 1: Market Liquidity Measurement -- Appendix 2: Bloomberg Data -- Appendix 3: Liquidity Aspects of the Stock Market -- Appendix 4: Liquidity Aspects of Government Bonds -- Appendix 5: Financial Assets and Liabilities of Economic Sectors -- References -- 8 The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation -- 8.1 Introduction -- 8.2 Bank Capital Adequacy, State of Economy and Credit Cycles. , Capital Adequacy in the Assessment of Banking Stability -- Banking Crisis Predictors -- Indicators of Cyclicality in the Economy and the Financial Sector Affecting Banking Stability -- Credit Cycle Indicators of the Bank of Russia -- 8.3 Data and Methodology -- Data Description -- Dependent Variables -- Explanatory Variables -- Methodology -- 8.4 Empirical Results -- 8.5 Conclusions -- Appendix 1: Summary Statistics -- Appendix 2: Explanatory Variable Groups -- References -- 9 Assessing the Probability of Default During the COVID-19 Pandemic: The Case of Airlines -- 9.1 Introduction -- 9.2 Literature Review of Existing Models of Bankruptcy Prediction -- The Concept of Bankruptcy and Global Bankruptcy Prediction Models -- Review of the Approaches to Predicting Bankruptcy in the European Countries -- 9.3 Materials and Method: Development of the Approaches of Bankruptcy Prediction of the European Airlines in a Pandemic -- Data and Methodology -- Descriptive Statistics -- 9.4 Results and Discussion -- Model Development -- Development of the Economic Approach to Assessing the Probability of Bankruptcy -- 9.5 Conclusion -- References -- Part III New Challenges in Systemic Risk Assessment and Regulation -- 10 Macroprudential Policy: Tools and Evaluation of the Effectiveness of Measures for Systemic Risks Management -- References -- 11 Financial Resolution of Banks in Distress: International Evidence -- 11.1 Introductory Notes -- 11.2 Measures of Financial Recovery Applied by Banking Institutions -- Preparing a Bank's Recovery Plan -- Bail-in Mechanism -- Restructuring Plans of Bad Assets and Liabilities -- Revision and Adjustment Strategy of the Bank's Activities -- Attracting a New Investor -- 11.3 Financial Recovery Measures Applied by the Supervisory Authorities -- Capital Support -- Liquidity Support and Liquidity Assistance. , Funding for Purchase and Assumption Transactions (P& -- A) -- Financing a Bridge Bank (BB) Transaction -- 11.4 Financial Recovery Measures Applied by Governments and International Banking Authorities -- 11.5 Recovery Mechanism -- 11.6 Conclusion -- References -- 12 Digital Systemic Financial Risks in the Russian Banking Sector -- 12.1 Introduction -- 12.2 Financial Sector Digital Transformation -- «Classical» Banking Risks in the Digital Age -- 12.3 Systemic Risk Control -- 12.4 Conclusion -- References -- Conclusion -- Index.

Weitere Ausg.: Print version: Karminsky, Alexander Systemic Financial Risk Cham : Palgrave Macmillan,c2024 ISBN 9783031548086

Sprache: Englisch

UID:

Umfang: 1 online resource (347 pages)

Ausgabe: 1st ed. 2024.

ISBN: 9783031548093

Inhalt: This book provides an analysis of various sources and forms of systemic financial risk. It focuses on the most pressing research questions for both advanced and emerging market economies, including green finance, ESG agenda and related risks, international financial connectivity across countries and financial institutions, and catastrophic risks modeling. Part 1 considers emerging research issues in risk assessment and management, including new approaches to measuring financial development, trends and prospects of green finance, and cross-country financial spillovers. Part 2 casts a more nuanced look at the quantitative models and methods adopted in risk assessment and risk management, putting such issues as measuring catastrophic risks, liquidity mismatches as well as modeling probabilities of default and the impact of macroeconomic fundamentals on capital adequacy ratios in the Russian banking sector in the spotlight. Finally, Part 3 discusses the new regulatory challenges dealing with risk assessment and risk management, such as macroprudential policies which have proved efficient to mitigate systemic risk are investigated. The book offers a comprehensive picture of the challenges which emerging market economies are facing in the field of financial risk assessment and management. Specifically, the challenges are discussed in the context of elaborated models and policy responses, which are based on the up-to-date theoretical contributions and empirical evidence from various fields, making the book relevant to professors, researchers, graduate students, and practitioners of risk management, international finance, and financial services. Alexander Karminsky is a Research Professor in the Faculty of Economic Sciences/School of Finance at HSE University. Prof. Karminsky is also in charge of the Laboratory of Financial Innovation and Risk Management at HSE University. He is a distinguished scholar in the field of banking, risk management, and innovations research. He has authored a number of publications in international peer-reviewed journals and monographs. Prof. Karminsky is a member of organizing and scientific committees of important conferences and workshops in the field of finance and risk management both in Russia and abroad. Mikhail Stolbov is Chair of the Department of Applied Economics and Professor in the Economics and Banking Business Department at MGIMO University. Since 2015, he is a distinguished professor of the Russian Academy of Sciences. His research focuses on financial stability, systemic risk, finance-growth nexus and green finance. Prof. Stolbov has a number of publications in leading peer-reviewed journals, both domestic and international. Prof. Stolbov regularly delivers talks at influential conferences in the field of international finance, financial stability and empirical macroeconomics in Russia and abroad.

Anmerkung: Part I. New Trends in International Financial Development and Risk Assessment -- Chapter 1. Adapted Approaches to Measuring Financial Development Konstantin Krinichansky -- Chapter 2. Green Finance: Trends, Prospects and Risks Svetlana Pertseva , Anna Vityazeva -- Chapter 3. Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach Onur Polat -- Chapter 4. Household Income and Financial Stability of the Russian Banking Sector Olga Miroshnichenko, Maria Vyshkovskaia, Valeriy Gamukin -- Chapter 5. The impact of ESG rating on companies' resilience to systemic risks Alexandra Egorova, Herman Petrov-Nerling -- Part II. Quantitative Methods and Models in Emerging Markets' Risk Management -- Chapter 6. New Ways of Measuring Catastrophic Risk Vigen Minasyan -- Chapter 7. Measuring Market Liquidity and Liquidity Mismatches across Sectors Artur Akhmetov, Anna Burova, Natalia Makhankova, and Alexey Ponomarenko -- Chapter 8.The Impact of Macroeconomic Factors on Capital Adequacy of the Russian Banking Sector in the Context of Countercyclical Banking Regulation Olga Miroshnichenko, Maria Vyshkovskaia -- Chapter 9. Assessing the Probability of Default during the COVID-19 Pandemic: the case of airlines Elizaveta Markovskaya, Elena Smolina -- Part III. New Challenges in Systemic Risk Assessment and Regulation -- Chapter 10. Macroprudential Policy: Tools and Evaluation of the Effectiveness of Measures for Systemic Risks Management Ekaterina Seryakova -- Chapter 11. Financial Resolution of Banks in Distress: International Evidence Nataliya Kovaleva, Oksana Petrova -- Chapter 12. Digital Systemic Financial Risks in the Russian Banking Sector Sergey Dubinin -- Conclusion .

Weitere Ausg.: Print version: Karminsky, Alexander Systemic Financial Risk Cham : Palgrave Macmillan,c2024 ISBN 9783031548086

Sprache: Englisch

DOI: 10.1007/978-3-031-54809-3