Macroprudential Policy and Risk Management

A special issue of Administrative Sciences (ISSN 2076-3387).

Deadline for manuscript submissions: closed (31 December 2020) | Viewed by 3917

Special Issue Editor


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Guest Editor
1. Department of International Business and Economics, Bucharest University of Economic Studies, 010404 Bucharest, Romania
2. Institute for Economic Forecasting, Romanian Academy, 050711 Bucharest, Romania
Interests: asset bubbles; financial markets; asset pricing; monetary policy; credit risk; volatility modeling; financial econometrics; economic forecasting; risk management
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Special Issue Information

Dear Colleagues,

Financial markets have undergone a substantial wave of turbulence during the past two decades. The recent economic crisis reshaped general considerations about economic policy analysis and risk management and led to relevant regulatory measures. In this context, improving risk management tools and practices has emerged as one of the hottest topics in macro-finance for both academics and investors.

The objective of this special issue is to provide an international forum for high-quality theoretical and empirical macro and micro economic and financial analysis.

We encourage submissions that are related, but not limited, to the following topics:

  • Financial Risk Management and Analysis
  • Forecasting of Financial Distress
  • Market Dynamics and Prediction
  • Issues Relating to Domestic and International Financial Stability
  • Economic Policy Uncertainty
  • Macroprudential Policies and Supervision
  • Systemic Risk
  • Monetary Economics
  • Financial Econometrics
  • General International Finance

Dr. Adrian Cantemir Calin
Guest Editor

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Keywords

  • Risk Management
  • Policy Analysis
  • Macro-finance

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Published Papers (1 paper)

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Research

14 pages, 2344 KiB  
Article
Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions
by Cristina Zeldea
Adm. Sci. 2020, 10(3), 52; https://doi.org/10.3390/admsci10030052 - 8 Aug 2020
Cited by 3 | Viewed by 3072
Abstract
Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by [...] Read more.
Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by a series of balance-sheet variables, considered as proxies for bank liquidity for the 2004:1–2019:1 period. We first compute Marginal Expected Shortfall values for the entities in our sample and then imbed them into a Random Forest regression setup. Although we discover that feature importance is rather bank-specific, we notice that cash and available-for-sale securities are the most relevant factors in explaining the dynamics of systemic risk. Our findings emphasize the need for heightened prudential regulation of bank liquidity, particularly in what concerns cash and immediate liquidity instrument weights. Moreover, systemic risk could be consistently tamed by consolidating bank emergency liquidity provision schemes. Full article
(This article belongs to the Special Issue Macroprudential Policy and Risk Management)
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