İşletme Bölümü Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.11779/1937

Browse

Filters

20162

Settings

End date: 2019Publisher: search.filters.publisher.Springer

Search Results

Now showing 1 - 2 of 2
  • Article
    Citation - WoS: 21
    Citation - Scopus: 21
    Testing for Systemic Risk Using Stock Returns
    (Springer, 2016-05-26) Kupiec, Paul; Güntay, Levent
    The literature proposes several stock return-based measures of systemic risk but does not include a classical hypothesis tests for detecting systemic risk. Using a joint null hypothesis of Gaussian returns and the absence of systemic risk, we develop a hypothesis test statistic to detect systemic risk in stock returns data. We apply our tests on conditional value-at-risk (CoVaR) and marginal expected shortfall (MES) estimates of the 50 largest US financial institutions using daily stock return data between 2006 and 2007. The CoVaR test identifies only one institution as systemically important while the MES test identifies 27 firms including some of the financial institutions that experienced distress in the past financial crisis. We perform a simulation analysis to assess the reliability of our proposed test statistics and find that our hypothesis tests have weak power, especially tests using CoVaR. We trace the power issue to the inherent variability of the nonparametric CoVaR and MES estimators that have been proposed in the literature. These estimators have large standard errors that increase as the tail dependence in stock returns strengthens.
  • Book Part
    Citation - WoS: 2
    Citation - Scopus: 2
    Compliance and Reporting Trends: Essential Strategies
    (Springer, 2016-12-20) Son-Turan, Semen
    The digital age, with decreasing barriers to entry, paving the way for low-cost competition, saw an influx of new financial products and services globally. Soon the increasingly technology-driven financial landscape transformed itself with the democratization of finance diffusing to all levels of society. The standing rules and regulations of financial markets were confronted with an epitome of complexities marked by higher transparency, increased efficiencies, a wide range of substitutes, abundant information, a huge number of stakeholders and a bulk of aspiring entrepreneurs. However, a new game necessitates new rules, and a considerable disruption in old ways of doing is sure to witness unorthodox problems that need to be dealt with, and preferably foreseen, through a different lens. Sooner or later, these new digitally enhanced financial markets are destined to break down, dragging down everyone who once had faith in them, if not supported by proper compliance and corporate social performance and reporting standards. This chapter explores newly emerging trends in compliance and reporting standards for financial institutions.