The simple economics of bank fragility

By Casper G. de Vries. 2005

152 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/fe478ab48bf2200c23a477f7265d5d07bd770360

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Citations in the corpus

Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions (2010, methodology): “We start by reviewing a simple model in de Vries (2005), which explains the systemic risk within a two-bank system.”
Fat tails, VaR and subadditivity☆ (2013, unknown): “Other relevant cases are discussed in de Vries (2005) for the financial assets and Geluk and de Vries (2006) for insurance. Garcia et al. (2007) considered the case of two independent returns.”
Can Banks in Emerging Economies Benefit from Revenue Diversification? (2011, unknown): “Third, while diversification decreases vulnerability to idiosyncratic shocks, there is a corresponding rise in exposure to systemic shocks because of the number of markets banks become active in ( De Vries 2005 ).”
Networks in Finance (2008, unknown): “Moreover, a number of empirical studies point out that the existing network of interpersonal relationships shapes the formation of the network of risk-sharing agreements (Fafchamps and Lund, 2003; de Weerdt, 2004; Fafchamps and Gubert, 2006). Despite the evidence, there are only a few papers that ap”
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2007, unknown): “1) with a tail index ζ > 0 (see the discussion in Jansen and de Vries, 1991; Loretan and Phillips, 1994; Brakman, Garretsen, van den Berg and van Marrewijk, 1999; Meerschaert and Scheffler, 2000; Gabaix, Gopikrishnan, Plerou and Stanley, 2003; Ibragimov, 2004, 2005a; Nishiyama and Osada, 2005, and r”
Financial Crises: Theory and Evidence (2009, background): “Similarly, de Vries (2005) shows that there is dependency between banks' portfolios, given the fat tail property of the underlying assets, and this carries the potential for systemic breakdown. Cifuentes, Ferrucci, and Shin (2005) present a model where financial institutions are connected via portfo”
Interconnectedness in the interbank market (2015, unknown): “De Vries (2005) offers an interesting interpretation of (6): “The fortunes of the banking sector as indicated by the balance sheet items, are sooner or later also reflected in the value of bank equity.”