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- W2181523502 abstract "We study the banks equity evolution constraint to the market conditions and financial derivatives. Thus, we try to detect the systemic risk sources cross accounting tools; market conditions and financial market derivatives. We apply the quantile regression panel data and calculate the conditional variance to investigate the risk transmission by contagion between different accounts. This allows us to interpret the internal dynamics between the different accounts of bank’s balance sheet. Thus, we identified the source of instability and accounts risks infected by contagion transmission. We conclude that transmission of systemic risk between accounts within a single institution and intra-institution by the contagion effect is justified during the process trained to market conditions. Keywords: Contagion, Derivatives, Fair value accounting, Market Conditions, Systemic Risk." @default.
- W2181523502 created "2016-06-24" @default.
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- W2181523502 date "2018-04-06" @default.
- W2181523502 modified "2023-09-24" @default.
- W2181523502 title "Fair Value and Market Conditions: Contribution to Systemic Risk and Contagion" @default.
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