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.

When more is less: Using multiple constraints to reduce tail risk (2012)
Alexander, G. (University of Minnesota), Baptista, A (The George Washington University), and S. Yan (University of South Carolina), Journal of Banking and Finance, 36 (10), 2693–2716
Financial contagion and the real economy (2012)
Baur, D. (University of Technology Sydney), Journal of Banking and Finance, 36 (10), 2680–2692
Will tighter futures price limits decrease hedge effectiveness? (2012)
Dark, J (University of Melbourne), Journal of Banking and Finance, 36 (10), 2717–2728
Reprint of investors’ distraction and strategic repricing decisions (2012)
Navone, M (University of Technology Sydney), Journal of Banking and Finance, 36 (10), 2729–2741
Pricing the US residential asset through the rent flow: A cross-sectional study (2012)
Goswami, G. (Fordham University), and S. Tan (Fordham University), Journal of Banking and Finance, 36 (10), 2742–2756
Momentum, contrarian, and the January seasonality (2012)
Yao, Y. (University of Melbourne), Journal of Banking and Finance, 36 (10), 2757–2769
A public good approach to credit ratings: from conceptualisation to implementation (2009)
Duan, J. C. (National University of Singapore) and E. Van Laereb (National University of Singapore), Journal of Banking and Finance 36 (12), 3239-3247
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
Economic costs and benefits of imposing short-horizon value-at-risk type regulation (2009)
Shi, Z. (University of Melbourne) and B. Werkery (Tilburg University) , Journal of Banking and Finance 36 (12), 3227-3238

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