Stress Testing the Unknown - The Impact of Network Reconstruction on Systemic Risk Estimates

2020 ◽  
Author(s):  
Fabian Woebbeking
Keyword(s):  
Systemic Risk ◽  
Stress Testing ◽  
Network Reconstruction ◽  
Risk Estimates ◽  
The Impact

Systemic Risk: The Impact of COVID-19

2020 ◽  
Author(s):  
Muhammad Suhail Rizwan ◽  
Ghufran Ahmad ◽  
Dawood Ashraf
Keyword(s):  
Systemic Risk ◽  
The Impact

Global Algorithmic Capital Markets

2018 ◽  
Keyword(s):  
Public Policy ◽  
Capital Markets ◽  
Systemic Risk ◽  
High Frequency ◽  
Investor Protection ◽  
High Frequency Trading ◽  
Market Making ◽  
Market Governance ◽  
Policy Objectives ◽  
The Impact

This book illustrates and assesses the dramatic recent transformations in capital markets worldwide and the impact of those transformations. ‘Market making’ by humans in centralized markets has been replaced by supercomputers and algorithmic high frequency trading operating in often highly fragmented markets. How do recent market changes impact on core public policy objectives such as investor protection, reduction of systemic risk, fairness, efficiency, and transparency in markets? The operation and health of capital markets affect all of us and have profound implications for equality and justice in society. This unique set of chapters by leading scholars, industry insiders, and regulators sheds light on these and related questions and discusses ways to strengthen market governance for the benefit of society at large.

scholarly journals In-Situ Measurement of Power Loss for Crystalline Silicon Modules Undergoing Thermal Cycling and Mechanical Loading Stress Testing

Energies ◽  
2020 ◽  
Vol 14 (1) ◽  
pp. 72
Author(s):  
Sergiu Spataru ◽  
Peter Hacke ◽  
Dezso Sera
Keyword(s):  
Thermal Cycling ◽  
Power Loss ◽  
Stress Testing ◽  
Series Resistance ◽  
Short Circuit ◽  
In Situ Measurement ◽  
Mechanical Degradation ◽  
Model Parameters ◽  
The Impact

An in-situ method is proposed for monitoring and estimating the power degradation of mc-Si photovoltaic (PV) modules undergoing thermo-mechanical degradation tests that primarily manifest through cell cracking, such as mechanical load tests, thermal cycling and humidity freeze tests. The method is based on in-situ measurement of the module’s dark current-voltage (I-V) characteristic curve during the stress test, as well as initial and final module flash testing on a Sun simulator. The method uses superposition of the dark I-V curve with final flash test module short-circuit current to account for shunt and junction recombination losses, as well as series resistance estimation from the in-situ measured dark I-Vs and final flash test measurements. The method is developed based on mc-Si standard modules undergoing several stages of thermo-mechanical stress testing and degradation, for which we investigate the impact of the degradation on the modules light I-V curve parameters, and equivalent solar cell model parameters. Experimental validation of the method on the modules tested shows good agreement between the in-situ estimated power degradation and the flash test measured power loss of the modules, of up to 4.31 % error (RMSE), as the modules experience primarily junction defect recombination and increased series resistance losses. However, the application of the method will be limited for modules experiencing extensive photo-current degradation or delamination, which are not well reflected in the dark I-V characteristic of the PV module.

Impact of regulatory announcements on systemic risk in the Indian telecom sector

2018 ◽  
Vol 13 (5) ◽  
pp. 1395-1416 ◽  
Author(s):  
Sushma Priyadarsini Yalla ◽  
Som Sekhar Bhattacharyya ◽  
Karuna Jain
Keyword(s):  
Risk Premium ◽  
Systemic Risk ◽  
Service Providers ◽  
Policy Makers ◽  
Content Type ◽  
Risk Premiums ◽  
Buffering Hypothesis ◽  
Research Findings ◽  
Telecom Sector ◽  
The Impact

Purpose Post 1991, given the advent of liberalization and economic reforms, the Indian telecom sector witnessed a remarkable growth in terms of subscriber base and reduced competitive tariff among the service providers. The purpose of this paper is to estimate the impact of regulatory announcements on systemic risk among the Indian telecom firms. Design/methodology/approach This study employed a two-step methodology to measure the impact of regulatory announcements on systemic risk. In the first step, CAPM along with the Kalman filter was used to estimate the daily β (systemic risk). In the second step, event study methodology was used to assess the impact of regulatory announcements on daily β derived from the first step. Findings The results of this study indicate that regulatory announcements did impact systemic risk among telecom firms. The study also found that regulatory announcements either increased or decreased systemic risk, depending upon the type of regulatory announcements. Further, this study estimated the market-perceived regulatory risk premiums for individual telecom firms. Research limitations/implications The regulatory risk premium was either positive or negative, depending upon the different types of regulatory announcements for the telecom sector firms. Thus, this study contributes to the theory of literature by testing the buffering hypothesis in the context of Indian telecom firms. Practical implications The study findings will be useful for investors and policy-makers to estimate the regulatory risk premium as and when there is an anticipated regulatory announcement in the Indian telecom sector. Originality/value This is one of the first research studies in exploring regulatory risk among the Indian telecom firms. The research findings indicate that regulatory risk does exist in the telecom firms of India.

Systemic Risk, Stress Testing, and Financial Contagion

2014 ◽  
pp. 282-310
Author(s):  
Calixto Lopez-Castañon ◽  
Serafin Martinez-Jaramillo ◽  
Fabrizio Lopez-Gallo
Keyword(s):  
Systemic Risk ◽  
Research Agenda ◽  
Stress Testing ◽  
Risk Measures ◽  
Banking System ◽  
Financial Contagion ◽  
Interbank Market ◽  
Coherent Risk ◽  
Central Bankers ◽  
Standard Risk

Despite the acknowledgment of the relevance of Systemic Risk, there is a lack of consensus on its definition and, more importantly, on the way it should be measured. Fortunately, there is a growing research agenda and more financial regulators, central bankers, and academics have recently been focusing on this field. In this chapter, the authors obtain a distribution of losses for the banking system as a whole. They are convinced that such distribution of losses is the key element that could be used to develop relevant measures for systemic risk. Their model contemplates several aspects, which they consider important regarding the concept of systemic risk: an initial macroeconomic shock, which weakens some institutions (some of them to the point of failure), a contagion process by means of the interbank market, and the resulting losses to the financial system as a whole. Finally, once the distribution is estimated, the authors derive standard risk measures for the system as a whole, focusing on the tail of the distribution (where the catastrophic or systemic events are located). By using the proposed framework, it is also possible to perform stress testing in a coherent way, including second round effects like contagion through the interbank market. Additionally, it is possible to follow the evolution of certain coherent risk measures, like the CVaR, in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, the authors decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and determine if the system is more prone to experience contagious difficulties during a certain period of time.

scholarly journals An Integrated Global Food and Energy Security System Dynamics Model for Addressing Systemic Risk

2019 ◽  
Vol 11 (14) ◽  
pp. 3995 ◽  
Author(s):  
Roberto Pasqualino ◽  
Irene Monasterolo ◽  
Aled Jones
Keyword(s):  
Food Security ◽  
Population Growth ◽  
System Dynamics ◽  
Systemic Risk ◽  
Land Development ◽  
Climate Extreme ◽  
System Dynamics Model ◽  
Dynamics Model ◽  
The Impact ◽  
Global Food

In 1972, The Limits to Growth, using the World3 System Dynamics model, modeled for the first time the long-term risk of food security, which would emerge from the complex relation between capital and population growth within the limits of the planet. In this paper, we present a novel system dynamics model to explore the short-term dynamics of the food and energy system within the wider global economic framework. By merging structures of the World3, Money, and Macroeconomy Dynamics (MMD) and the Energy Transition and the Economy (ETE) models, we present a closed system global economy model, where growth is driven by population growth and government debt. The agricultural sector is a general disequilibrium productive sector grounded on World3, where capital investment and land development decisions are made to meet population food need, thus generating cascade demands for the energy and capital sector. Energy and Capital Sectors employ a more standard economic approach in line with MMD and ETE. By taking into account the role of financial, real, and natural capital, the model can be used to explore alternative scenarios driven by uncertainty and risk, such as climate extreme events and their impacts on food production. The paper presents scenario analysis of the impact of an exogenous price, production, and subsidies shock in the food and/or energy dimensions on the economic system, understanding the sources of potential cascade effects, thus providing a systemic risk assessment tool to inform global food security policies.

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