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.

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
Stress testing credit risk: The Great Depression scenario (2012)
Varotto, S. (ICMA Centre), Journal of Banking and Finance 36 (12), 3133-3149
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?
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
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
Economic costs and benefits of imposing short-horizon value-at-risk type regulation
Shi, Z. (University of Melbourne) and B. Werkery (Tilburg University) , Journal of Banking and Finance 36 (12), 3227-3238
A public good approach to credit ratings: from conceptualisation to implementation
Duan, J. C. (National University of Singapore) and E. Van Laereb (National University of Singapore) , Journal of Banking and Finance 36 (12), 3239-3247