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The Effect Of Internal And External Factors On Liquidity Risk : A Study in Food and Beverage Industry in Malaysia on Apollo Food Holdings Berhad 内部和外部因素对流动性风险的影响:马来西亚餐饮行业对阿波罗食品控股有限公司的研究
ERN: Systemic Risk (Topic) Pub Date : 2021-09-30 DOI: 10.2139/ssrn.3933685
Hui Qie Pang
{"title":"The Effect Of Internal And External Factors On Liquidity Risk : A Study in Food and Beverage Industry in Malaysia on Apollo Food Holdings Berhad","authors":"Hui Qie Pang","doi":"10.2139/ssrn.3933685","DOIUrl":"https://doi.org/10.2139/ssrn.3933685","url":null,"abstract":"Liquidity of a company is very important for a company to know whether the company is able to pay off the short term debt, meet current cash needs and to avoid unpleasant surprise. The purpose of this study is to study the effect of internal factors, external factors and both internal and external factors on the liquidity risk of Apollo Food Holdings Berhad. The study is done by investigating the annual reports from 2015 to 2019. This study used multiple linear regression model to analyze the data. The findings show that debt-to-income ratio is the most significant variable to the liquidity of the company. The company should have a good debt-to-income ratio by increasing company income and paying off high interest debts.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128685968","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Change in Systemic Risk in Indian Financial Market due to COVID-19 Pandemic 新冠肺炎疫情下印度金融市场系统性风险的变化
ERN: Systemic Risk (Topic) Pub Date : 2021-07-10 DOI: 10.2139/ssrn.3883949
C. Jha, U. Goel
{"title":"Change in Systemic Risk in Indian Financial Market due to COVID-19 Pandemic","authors":"C. Jha, U. Goel","doi":"10.2139/ssrn.3883949","DOIUrl":"https://doi.org/10.2139/ssrn.3883949","url":null,"abstract":"This paper used an economic model of systemic risk given by Acharya (2016) to measure the state of systemic risk in Indian financial market during COVID-19 Pandemic. It is based on marginal expected shortfall (MES), the likelihoods of a financial firm to be undercapitalized when the financial system as a whole is undercapitalized. The paper empirically measures the MES of financial firms of NIFTY 50 for pre-COVID year 2019-20 and COVID year2020-21 and found that the undercapitalization of Indian financial firm has increased 3 fold during COVID-19 Pandemic ensuing systemic risk has been increased during COVID-19 year to pre-COVID year. The result is also supported by daily stock return correlations of financial firms which is a simple and robust indicator of systemic risk. It has been found that the correlations of financial firm stock returns among themselves and market index as well is increased during COVID-19 pandemic that led to rise in systemic risk. Higher correlations among financial firms are a prerequisite for systemic failure.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129599675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Baabda - A Reigning District Baabda -一个统治地区
ERN: Systemic Risk (Topic) Pub Date : 2021-03-24 DOI: 10.2139/ssrn.3833563
Abdallah Hayek P.E
{"title":"Baabda - A Reigning District","authors":"Abdallah Hayek P.E","doi":"10.2139/ssrn.3833563","DOIUrl":"https://doi.org/10.2139/ssrn.3833563","url":null,"abstract":"The unfortunate events that hit Lebanon between 2019 and 2020 were very harsh. A lot of people immigrated from the country, and a good portion of the population is either considering immigrating or wishing to but cannot.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122889531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimization of Systemic Risk: Reallocation of Assets Based on Bank Networks 系统性风险的优化:基于银行网络的资产再配置
ERN: Systemic Risk (Topic) Pub Date : 2021-02-22 DOI: 10.21314/JOR.2021.449
Wang Hu, Shouwei Li
{"title":"Optimization of Systemic Risk: Reallocation of Assets Based on Bank Networks","authors":"Wang Hu, Shouwei Li","doi":"10.21314/JOR.2021.449","DOIUrl":"https://doi.org/10.21314/JOR.2021.449","url":null,"abstract":"In this paper, we investigate the optimization of systemic risk based on Debt Rank by considering two contagion channels: interbank lending and common asset holdings. The optimization of systemic risk is realized through the reallocation of assets in these two networks (interbank lending and common asset holdings), and China’s interbank lending and sector loans data from 2017 is used to verify this scenario. The results show that under bank shock and asset shock, systemic risk can be significantly reduced through the reallocation of assets in these two networks; the density of the optimized network is significantly higher than that of the original network; and the scale of interbank assets of large-scale banks decreases, while the scale of common asset holdings increases in the optimized network. In addition, the results suggest that systemic risk can be lowered by reducing the existence of a high concentration of bank or sector portfolios, and that a low Herfindahl–Hirschman Index (HHI) plays a role in risk-sharing when there is a less high HHI.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"646 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132048734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Hedge Fund Liquidity Management: Insights for Fund Performance and Systemic Risk Oversight 对冲基金流动性管理:基金绩效和系统性风险监督的见解
ERN: Systemic Risk (Topic) Pub Date : 2020-11-20 DOI: 10.2139/ssrn.3734596
G. Aragon, A. Ergun, Giulio Girardi
{"title":"Hedge Fund Liquidity Management: Insights for Fund Performance and Systemic Risk Oversight","authors":"G. Aragon, A. Ergun, Giulio Girardi","doi":"10.2139/ssrn.3734596","DOIUrl":"https://doi.org/10.2139/ssrn.3734596","url":null,"abstract":"We use Form PF filings over 2013–2017 to examine hedge funds’ cash holdings and available borrowing (“liquidity buffers”). Funds maintain higher buffers when they hold more illiquid assets, have shorter-term commitments from investors and creditors, and when market volatility is greater. Funds with low abnormal buffers – buffers below the level predicted by fund attributes – subsequently outperform their peers. Stocks with greater ownership by managers with abnormally low buffers subsequently outperform other stocks, especially around earnings announcements. Our results highlight potential trade-offs between systemic risk-oriented policies requiring larger liquidity buffers and the impairment of regular price discovery in financial markets.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130686452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
On the Tail Risk of Cyberattacks in the Bitcoin Market 论比特币市场网络攻击的尾部风险
ERN: Systemic Risk (Topic) Pub Date : 2020-11-19 DOI: 10.2139/ssrn.3733810
Klaus Grobys, Josephine Dufitinema, Niranjan Sapkota
{"title":"On the Tail Risk of Cyberattacks in the Bitcoin Market","authors":"Klaus Grobys, Josephine Dufitinema, Niranjan Sapkota","doi":"10.2139/ssrn.3733810","DOIUrl":"https://doi.org/10.2139/ssrn.3733810","url":null,"abstract":"In the era of digitalization, cryptocurrencies have become an alternative asset for both retail and institutional investors. While the new emerging digital ecosystem based on blockchain technology has been praised for offering plenty of advantages such as decentralization, discretion or increased efficiency in terms of faster settlements among others, investors need to be aware of new types of risks such as hacking incidents. In the 2011-2018 period, about 1.7 million unit of Bitcoin have been stolen corresponding to losses accumulating more than $655 million highlighting the societal impact of this criminal activity. The novel aspect of our study is that it employs a recently proposed approach related to Extreme-Value-Theory to compute the quantity of the risk of cyberattacks. Our results show that employing naïve statistics in risk management dramatically underestimates this risk. We argue that our findings have important implications for policy makers as they call for an urgent need for cryptocurrency market regulations from governments and regulatory agencies to protect investors.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129477356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
What Can China Learn about the Way Property Price Bubbles Affect GDP Growth? A Bubble Economics Perspective 中国从房价泡沫影响GDP增长的方式中学到了什么?泡沫经济学的视角
ERN: Systemic Risk (Topic) Pub Date : 2020-11-07 DOI: 10.2139/ssrn.3726522
Bryane Michael, Simon X. B. Zhao
{"title":"What Can China Learn about the Way Property Price Bubbles Affect GDP Growth? A Bubble Economics Perspective","authors":"Bryane Michael, Simon X. B. Zhao","doi":"10.2139/ssrn.3726522","DOIUrl":"https://doi.org/10.2139/ssrn.3726522","url":null,"abstract":"How far do China’s property prices need to drop in order to trigger a GDP reaction that looks like a price bubble bursting? What does this question tell us about the way Bubble Economies work? In this paper, argue for a separate analysis of ‘Bubble Economics’ – as the non-linear and often “systemic” (in the mathematical sense of the word) forces which cause significant misallocations of resources. Even the term Bubble Economics can help us keep in mind that when we look at such events, we are witnessing discontinuous jumps representing the radical change in underlying economic structures and fundamentals -- if even for a limited time.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126208367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bankruptcy and the COVID-19 Crisis 破产和COVID-19危机
ERN: Systemic Risk (Topic) Pub Date : 2020-09-10 DOI: 10.2139/ssrn.3690398
Jialan Wang, Jeyul Yang, Benjamin Iverson, R. Kluender
{"title":"Bankruptcy and the COVID-19 Crisis","authors":"Jialan Wang, Jeyul Yang, Benjamin Iverson, R. Kluender","doi":"10.2139/ssrn.3690398","DOIUrl":"https://doi.org/10.2139/ssrn.3690398","url":null,"abstract":"We examine the impact of the COVID-19 economic crisis on business and consumer bankruptcies in the United States using real-time data on the universe of filings. Historically, bankruptcies have closely tracked the business cycle and contemporaneous unemployment rates. However, this relationship has reversed during the COVID-19 crisis thus far. While aggregate filing rates were very similar to 2019 levels prior to the severe onset of the pandemic, filings by consumers and small businesses dropped dramatically starting in mid-March, contrary to media reports and many experts' expectations. The total number of bankruptcy filings is down by 27 percent year-over-year between January and August. Consumer and business Chapter 7 filings rebounded moderately starting in mid-April and stabilized around 20 percent below 2019 levels, but Chapter 13 filings remained at 55-65 percent below 2019 levels through the end of August. In contrast to the 2007-9 recession, states with a larger increase in unemployment between April and July experienced greater drops in bankruptcies. Although they make up a small share of overall bankruptcies, Chapter 11 filings by large corporations have increased since 2019, and are up nearly 200 percent year-over-year from January through August. These patterns suggest that the financial experiences of consumers, small businesses, and large corporations have diverged during the COVID-19 crisis. Large businesses have continued to seek and receive relief from the bankruptcy system as they would during a normal recession, and relatively wealthy homeowners have on average benefited from the fiscal stimulus and housing moratoria mandated by the CARES Act and other policies. However, non-homeowners and small businesses may face financial, physical, and technological barriers to accessing the bankruptcy system, especially in the areas hardest-hit by unemployment.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123667009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 59
Efforts to Prevent Cyber Attacks Could be the Cause of the Next Global Financial Crisis 防止网络攻击的努力可能是下一次全球金融危机的原因
ERN: Systemic Risk (Topic) Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3701282
S. Madnick, Simon Johnson, Keman Huang
{"title":"Efforts to Prevent Cyber Attacks Could be the Cause of the Next Global Financial Crisis","authors":"S. Madnick, Simon Johnson, Keman Huang","doi":"10.2139/ssrn.3701282","DOIUrl":"https://doi.org/10.2139/ssrn.3701282","url":null,"abstract":"Headlines like “A cyberattack could trigger the next financial crisis, new report says,”1 and “How a Cyber Attack Could Cause the Next Financial Crisis,”2 should be of concern to all of us and be important incentives to do something! You probably have not yet heard the ironic headline, “Efforts to Prevent Cyber Attacks Could be the Cause of the Next Global Financial Crisis.” But, that is already a problem that is emerging and needs to be given serious attention.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134243726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective 经典定量金融的倒抛物线世界:非均衡和非扰动金融学视角
ERN: Systemic Risk (Topic) Pub Date : 2020-08-09 DOI: 10.2139/ssrn.3669972
I. Halperin
{"title":"The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective","authors":"I. Halperin","doi":"10.2139/ssrn.3669972","DOIUrl":"https://doi.org/10.2139/ssrn.3669972","url":null,"abstract":"Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper presents an alternative formulation based on insights from physics.","PeriodicalId":275268,"journal":{"name":"ERN: Systemic Risk (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125990302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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