Interconnectedness and Systemic Risk

In the past few years, the associate researchers of IGF have published quite a few of their research works on 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 RBA, 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.

Systemic Risk in Europe (2014)
Engle, R., Jondeau, E. and M. Rockinger, the Review of Finance, 19 (1), 145-190
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
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
The future and dynamics of global systemically important banks (2012)
Moshirian, F., Journal of Banking and Finance 36 (10), 2675-2679
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
Global financial crisis, risk analysis and risk measurement (2009)
Stijn Claessens, Aslı Demirgüç-Kunt and Fariborz Moshirian, Journal of Banking and Finance 33 (11), 1949-1952