The March 2023 banking turmoil has intensified discussions whether social media and the digitalisation of finance have become significant factors in driving severe deposit outflows. We introduce the concept of deposits-at-risk and utilize quantile regressions for disentangling determinants of stressed outflows at the lowest tail of the distribution.
Traditional exposure measures focus on direct exposures to evaluate the losses an institution is exposed to upon the default of a counterparty. Since the Global Financial Crisis of 2007-2008, the importance of indirect exposures via common asset holdings is increasingly recognized. Yet direct and indirect exposures do not to capture the losses that result from shock propagation and amplification following the counterparty's default. In this paper, we introduce the concept of \higher-order exposures" to refer to these spill-over losses and propose a way to formalize and quantify these.
The March 2023 banking turmoil has intensified discussions whether social media and the digitalisation of finance have become significant factors in driving severe deposit outflows. We introduce the concept of deposits-at-risk and utilize quantile regressions for disentangling determinants of stressed outflows at the lowest tail of the distribution.
A few days before Greece emerges from the political lull of August, the Thessaloniki International Fair (TIF) is rapidly becoming the focal point of a high-stakes autumn. Prime Minister Kyriakos Mitsotakis is due to unveil a sweeping relief package aimed at easing the cost-of-living crisis, which has proved a source of concern and frustration for voters throughout the last few years.
The European Union struck a trade deal that protected political priorities, like chicken and beef standards, while allowing headline-grabbing concessions. Consider lobsters.
Billy Long, a former Republican congressman, will no longer serve as the tax agency’s head. Treasury Secretary Scott Bessent will oversee the agency as acting commissioner.
The US president, Donald Trump, signed an executive order on August 5 to set up a government taskforce to manage the 2028 Summer Olympics in Los Angeles. During the White House announcement, Trump said: “We’ll do anything necessary to keep the Olympics safe, including using our National Guard or military.”
Donald Trump’s new international trade tariffs have landed. Some are lower than others, some deals have been done, but overall they are the highest they have been in 100 years.
They are also unprecedented in the era of the rules-based trade system that has been in place since 1945.
The Trump administration levied a hefty tariff on goods that are moved through other countries, but it has not yet fully explained its plans.
Rehim KilicThis paper fills an important gap in the volatility forecasting literature by comparing a broad suite of machine learning (ML) methods with both linear and nonlinear econometric models using high-frequency realized volatility (RV) data for the S&P 500. We evaluate ARFIMA, HAR, regime-switching HAR models (THAR, STHAR, MSHAR), and ML methods including Extreme Gradient Boosting, deep feed-forward neural networks, and recurrent networks (BRNN, LSTM, LSTM-A, GRU).
