Risk management has become increasingly important in the financial world. Considering its importance, it is necessary to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES). After the subprime crisis, the market began to emphasize ES instead of VaR. The hypothesis of this paper to be tested is that longer periods provide better information than shorter, more recent periods for measuring ES volatility to hedge trades. The ES can be adopted using parametric, semi-parametric, and non-parametric methods, and the analyses of the log return indicators started on 3 January 2000 and ended on 5 May 2023. The analyses carried out to evaluate these log return indicators covered the period from 6 May 2023 to 1 August 2025, where it was found that the exchange rate volatility of the Brazilian Real exceeded the VaR limits and even reached the Expected Shortfall risk zone. Then, a different analysis was performed, starting on 11 March 2020 and ending on 5 May 2023. This second analysis, as the first analysis, was carried out to evaluate these log return indicators that covered the period from 6 May 2023 to 1 August 2025. In this latest period analysis, the exchange rate volatility of the Brazilian Real reached the Exchange Shortfall risk zone in a different way compared to the first way. All three types of methods—parametric, non-parametric, and semi-parametric—show distinct behaviors depending on the period evaluated. The hypothesis was rejected, but the hedging strategies should account for asset volatility. The software used to calculate the estimators was Microsoft Excel 365 and Stata 14.2.

This paper examines bank failures during the subprime mortgage crisis, emphasizing sibling dynamics within multi-bank holding companies (MBHCs). While traditional risk indicators effectively predict failures for one bank holding companies (OBHCs), they exhibit limited explanatory power for MBHCs, where internal capital markets and interdependencies across affiliates shape risk outcomes. We extend the standard failure framework by incorporating group-level characteristics that capture sibling network structure and the distribution of risk across affiliates. Using pre-crisis data from 2006 to 2007, we show that group structure significantly influences failure risk. Larger sibling networks reduce individual bank failure risk through diversification, while greater size dispersion across affiliates increases vulnerability by constraining internal resource allocation. Beyond these aggregate effects, we introduce a weakest link approach that identifies the most distressed affiliate based on extreme tail risk in capitalization, asset quality, liquidity, earnings, and income volatility, capturing organizational fragility that aggregate measures miss. Concentrated vulnerabilities at a single affiliate significantly amplify failure risk throughout the holding company, even after controlling for traditional bank-level fundamentals and parent-level characteristics. These findings, derived from the 2007–2010 crisis, a severe stress test of holding company structures, identify organizational dynamics: resource competition among siblings and concentrated vulnerabilities at the weakest affiliate. Supervisory frameworks should explicitly account for within-group interdependencies rather than relying solely on individual bank metrics or aggregate indicators when monitoring bank holding company structures.

he subprime mortgage crisis and the COVID-19 crisis have severely damaged banks’ image and the climate of trust they enjoy with their customers. As a result of this deterioration, social responsibility is increasingly being developed within banking establishments to overcome the undesirable effects of these crises. This study aims to evaluate the contribution of environmental, social, and governance (ESG) to the financial performance of banks. The final sample is made up of 52 banks from different countries, and our study covers the period from 2007 to 2020. The results show that the overall ESG score, environmental, social, and governance scores separately, and the bank size are positively correlated with banks’ financial performance measured by return on assets (ROA) and return on equity (ROE). On the other hand, debt is negatively correlated with the latter variables. Also, for more robustness, we assessed the effect of each ESG criterion on banks’ financial performance. The contribution of this work can be seen in the fact that it is the first multinational analysis including 52 banks to assess the relationship between ESG and financial performance during the period of the subprime and COVID-19 crises.

The Global Financial Crisis (GFC) was a temporal phenomenon of intense turmoil in international financial markets and banking systems, spanning from mid-2007 to early 2009. The crisis was sparked by the collapse of the U.S. housing bubble and the massive failure of subprime mortgage loans. Due to the extensive interconnections of the global financial system, it rapidly spread beyond the United States, resulting in a worldwide economic meltdown that had lasting impacts on economies, employment, and financial regulations. In this background, this paper presents a theoretical framework to study the significant role of foreign direct investment and export in limiting the impact of global financial crisis. The study further reinforces its theoretical findings through comprehensive empirical investigation of the crisis-impacted economies. The theoretical model is based on Cobb-Douglas function with market capitalization of listed domestic companies as dependent variable and foreign direct investment and competition-augmented export as independent variables. The findings of the study strongly determine the positive influence of FDI and export on financial crisis. However, the theoretical framework in the present paper also helps in determining the critical values of FDI and export at which global financial crisis is minimized. The paper thus provides directions for reviving the economies from the grips of financial distress by adopting FDI and export driven policies.

We develop a dynamic model of asset origination with unobservable screening effort and signaling of loan quality through delayed sale by extending Vanasco (2017). The theory predicts a positive relationship between screening effort and the strength of the signal. We test this central prediction using U.S. mortgage data, measuring screening effort by mortgage processing time. Consistent with the theory, loans that take longer to process are sold with longer delay and are less likely to default, even though observably riskier loans are processed more slowly. Our calibration reveals that the subprime mortgage market operated in a parameter range with endogenous fragility.<br><br>Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at <a href="http://www.nber.org/papers/w34815" TARGET="_blank">www.nber.org</a>.<br>

Owing to the significant international exposure of its economy, Ireland was one of the countries suffering the greatest losses stemming from the 2007–2008 financial crisis. After a brief presentation of the nature of the subprime crisis, the study describes the economic conditions of the country before the crisis and the impact of the crisis on the Irish economy. This part of the study provides a detailed analysis of the changes triggered by the crisis in the national budget, in sovereign debt and in tax centralisation. The chapter to follow gives an insight into the economic cornerstones and instruments of the Irish contingency measures before presenting an overview of the results of the structural reforms. The study concludes that Ireland’s resolute efforts to restore the budget and to increase the flexibility of the economic structure played a key role in the success of crisis management and in conjunction, these measures resulted in regaining the confidence of the international capital market. In addition, it should not be overlooked that the country recognised the need for and did not hesitate to take recourse to external help in its crisis management. Finally, it is pointed out in the paper that today Ireland is in a position where the economy is well prepared to commence converging to the vanguard of European Union Member States. However, the Irish society will have to pay a steep price for the opportunity of this economic convergence in future, and should also reckon with a number of risk factors in this process.

Objective: The article aims to study how much digitalisation influences the systemic risk (SR) in the insurance sector of European Union (EU) countries. Research Design & Methods: In this research, we introduce an innovative, quantitative method for exploring the impact of digitalisation and assessing the similarities and interconnections among all European Union countries’ insurance sectors from 2004 to 2018 within the framework of Industry 4.0. The study integrates statistical and econometric tools with network modelling techniques, focusing on the topological indicators of minimum spanning trees (MST) derived from multidimensional dynamic time warping (DTW) distances. We analysed two datasets. The first one comprises exclusively data describing insurance sectors, while the second incorporates data detailing both insurance sectors and the digitalisation processes of individual EU countries. We assessed the similarity of the sectors’ dynamics over the analysed period, examining network behaviour during subprime crises, periods of excessive public debt, and immigration-related crises in Europe. Findings: The proposed tools made it possible to determine how digitalisation contributes to the increase in systemic risk in the EU insurance sector over the periods examined and effectively measure similarity levels, and outline indirect connections between insurance sectors. Implications & Recommendations: Because similarity can be a potential indirect channel for systemic risk contagion, countries with comparable insurance sectors and shared digitalisation-related behaviours may undergo similar repercussions during global financial downturns. Research endeavours in the insurance sector must consider digitalisation indicators that encompass technological advancements and consumer behaviour. Contribution & Value Added: We developed a new method to examine the similarity of the insurance sectors of the European Union countries and to assess the dynamics of changes in this similarity in the era of Insurance 4.0. Such an analysis allows for a long-term assessment of the possibility of spreading threats in the insurance sector throughout the European Union.

The Eurozone debt crisis and the U.S. subprime mortgage crisis disturbed the macroeconomic relationships which influenced GDP progression, unemployment levels, inflation, and efficiency of monetary policy. The research uses Vector Autoregression (VAR) model, the model incorporates the unit root tests, cointegration tests, and the impulse response function (IRF) analysis to analyse the dynamic relations between unemployment, inflation, interest rates, and GDP during crisis periods and non-crisis periods. The results indicate that there is a negative relationship between unemployment and GDP but this relationship weakened during financial crises only on a temporary basis. Though fiscal stimulus and employment support cushioned the immediate effect of unemployment, structural changes and technological innovation were the key to long-term recovery. The relationship between inflation and unemployment was not in the Phillips curve where there was delayed and nonlinear response to economic shocks in inflation. Additionally, interest rate adjustments had limited short-term effects on inflation and unemployment, particularly in periods of weak market confidence and deleveraging. The study highlights that monetary policy alone was insufficient in addressing economic downturns, emphasizing the need for coordinated monetary and fiscal policies. Impulse response function analysis shows that while macroeconomic variables experience short-term volatility, they eventually stabilize, demonstrating the economy's self- adjusting capability. However, the speed and magnitude of this adjustment depend on policy response efficiency, market confidence, and external economic conditions. This study shows the necessity of a comprehensive policy approach to enhance economic resilience and provides empirical evidence on the dynamic shifts in macroeconomic relationships during financial crises, offering insights for future policymaking.

Through a critical engagement with the racial capitalism literature, this article problematizes interpretations of the subprime crisis that foreground expropriation and the historical continuity of racism on the grounds that they end up treating race and finance as contingently related and fail to capture the distinctly capitalist dynamics underpinning the subprime crisis. Building on scholarship that explains race in terms of capitalism’s abstractive drive, we advance an account of subprime in which race is a form of capitalist power that operates through capitalist exploitation and capitalism’s wider laws of motion. In the case of subprime specifically, racialized norms of housing consumption are a dimension of the uneven distribution of the value of labor power. The transformation of these norms by interest-bearing capital allowed global finance to convert racialized ground rents into fictitious capital. ions of race therefore both created opportunities for accumulation and helped manage its uneven forms.

This paper takes the dot-com bubble, the subprime mortgage crisis, and the meme stock frenzy as typical cases to explain the severe decoupling between corporate fundamentals and market prices in financial markets and its causes. It concludes that the "perfectly rational man hypothesis" represented by traditional financial theories cannot explain such phenomena, while the analysis provided by behavioral finance from the perspectives of psychology and group dynamics is more in line with the actual situation. Observations from specific cases show that stock market volatility is mainly linked by optimism, group effects, and the Minsky moment. The socially amplified positive and optimistic sentiment is infinitely magnified through various media or social platforms, triggering people's herd behavior and irrational exuberance, leading to market "overshooting"; coupled with the factor of "stability breeds instability", a large amount of risks accumulated under "stability" ultimately trigger the "Minsky moment", and the market thus shows a "correction". Based on the above elaboration, corresponding regulatory opinions are put forward here: on the one hand, should strengthen systematic investor education to help investors avoid wrong cognitive biases; on the other hand, should improve regulatory rules to curb the amplifying effect of abnormal transactions and excessive leverage on market sentiment.

This research aims to scrutinize the determinants of bank funding liquidity within American banks. It also endeavors to discern the difference between the impact of the subprime mortgage crisis and that of the covid-19 on bank funding liquidity. The sample used in this paper consists of 70 commercial banks operating in the United States, for the period spanning from 2000 to 2022. The authors utilize the fixed effects model, and the two-step generalized method of moments (GMM) estimator. The results evince that the credit risk and capital have a negative effect on bank funding liquidity. The findings also substantiate that the subprime mortgage crisis negatively affects bank funding liquidity. Nevertheless, the covid-19 pandemic has a positive impact. Then, this article adds to the limited body of research on the determinants of bank funding liquidity in the USA. As a matter of fact, this paper contributes to the literature since it aims to distinguish between two major widespread crises.

The COVID-19 pandemic of 2020 served as a trigger, causing economic development around the world to enter a state of stagnation or even regression. Massive unemployment occurred worldwide, supply and demand spiraled downward, individuals lost confidence in the future, many small and medium-sized enterprises went bankrupt, and China lost some of its advantages in export trade. Since the impact of the COVID-19 financial crisis is not yet over and the trigger is different from past crises, fewer scholars have studied this direction, which is a ksy focus of this thesis. This dissertation focuses on analyzing the impact of the financial crisis on China and identifying appropriate banking system solutions. For the impact, the research methodology of primary and secondary surveys was used, and the author interviewed experts in the financial industry and analyzed numerous indicators (including GDP growth rate, inflation rate, international trade, investment, per capita consumption, and the Gini coefficient) in the last ten years. The research results of many famous scholars were also referenced. In terms of solutions, the author refers to the solutions used by the world's major developed countries during the subprime crisis and the financial crisis in the United States and Europe, and derives the solutions that are most suitable for the financial crisis since 2020.

As the most far-reaching regional financial crisis at the end of the 20th century, it exposed the systemic vulnerabilities of emerging market economies in the process of financial liberalization. As the trigger of the global financial crisis, the U.S. Subprime Mortgage Crisiss significance lies in revealing the inherent risks in the financial systems of developed countries. This study aims to compare the AFC and the SMC, focusing on their root causes, transmission mechanisms, impacts, and policy responses. It explores how differences in micro-subject behaviors and regional institutions influenced the intensity of crisis transmission and the path of globalization restructuring. The study employs comparative analysis to contrast microdata and institutional texts of the two crises. It combines case studies with econometric models to quantify variable correlations, providing a comprehensive understanding of the crises' mechanisms. The study finds that the AFC was primarily caused by reliance on short-term external debt, severe currency mismatches, and weak financial risk control, leading to currency devaluation and capital flight. In contrast, the SMC was triggered by low interest rates, subprime loan securitization, and rating agency failures, resulting in housing price declines and liquidity crises. Policy responses varied significantly, with the AFC involving IMF assistance and financial system overhauls, while the SMC saw capital injections and regulatory strengthening through legislation.

Uncertainty, as defined by Knight and Keynes in the 1920s, is now an essential key to understanding large-scale unpredictable events, such as 2020's pandemic. The inability of predictive models to anticipate the scope and impact of this unprecedented crisis has highlighted the relevance of a century-old theory that has long been marginalized in favor of predictive mathematical formalism. Beyond the economic field, this study offers an extensive and in-depth bibliometric analysis of literature to assess whether Knightian and Keynesian uncertainty remains overshadowed or whether, on the contrary, it is attracting renewed interest considering contemporary context. Using a corpus of 455 multidisciplinary articles from Scopus database from 1977 to 2024, this research uses R-Biblioshiny and VOSviewer software to provide a detailed overview of publication dynamics, key players and collaborative interactions. Through performance and scientific mapping analysis, the results reveal that the subprime crisis and the Covid shock acted as catalysts for a renewed awareness of the risk/uncertainty dichotomy, while highlighting the existence of two paradigms. The first, emerging and with a strong academic impact, tends to reintegrate this uncertainty into operational modelling frameworks, while the second, derived from heterodox economics, remains attached to its irreducible conception.

The article presents a review of studies conducted between 2014 and 2020 and a reference framework on urban extractivism, linking this concept to theories of classical authors in urban sociology and geography, as well as to contemporary scholars. It explores how current urban development transforms housing and public space into tradable commodities, rather than recognizing them as fundamental rights and basic needs. This process is evident in phenomena such as the subprime mortgage market, the mass construction of rental housing, gentrification, and touristification, which aim to attract wealthier residents, thereby increasing property sale or rental values, particularly in urban areas on the periphery of global capitalism, which are more susceptible to these dynamics. The study was conducted from a qualitative and hermeneutic perspective, using documentary research as the main strategy, with a dynamic sampling method that was adjusted according to the findings. Regarding the conclusions, it is observed that extractivism and neo-extractivism have managed to consolidate an academic community and form a social movement that brings together environmentalists, academics, and indigenous groups. Concerning the conceptual approach, the need for a deeper analysis of the object of study is highlighted, to determine whether there are similar practices between the logics of extractivism and neo-extractivism in the urban space. Criticisms are made of the neoliberal city model and the socio-spatial inequalities that it (re)produces, especially in Latin American cities.

Type of the article: Research Article AbstractThe instability or failure of financial institutions frequently triggers global financial crises, as exemplified by the 2008 global financial crisis that originated from subprime mortgage defaults in the United States. This study examines the impact of liquidity risk, credit risk, and capital adequacy on the financial stability of Islamic banks in Indonesia and Malaysia and explores the moderating effect of operational efficiency on this relationship. This study utilizes data from 16 Islamic commercial banks in Indonesia and 13 Islamic commercial banks in Malaysia, spanning the period from 2018 to 2024. Data were collected from annual reports and analyzed using panel data regression and System-GMM to address potential endogeneity. The results of panel data analysis indicate that banks with lower liquidity risk and credit risk tend to perform better in terms of stability. Additionally, higher capital adequacy is associated with higher stability. Initially, it was found that efficiency only moderates the effects of liquidity risk and credit risk on bank stability. However, further analysis using System-GMM revealed that efficiency also moderates the relationship between credit risk, liquidity risk, and capital adequacy on bank stability. This outcome confirms that the endogeneity issue has been successfully addressed using Sys-GMM analysis. AcknowledgmentThe authors would like to thank the LPPM of Universitas Pembangunan Nasional Veteran Jakarta for supporting this research. We also thank Dr. Amrie Firmansyah, SE, MM, M.Ak, ME, MA, MH, CSRS, CSRA, who guided and provided advice for this research. 

The 2008 global financial crisis, triggered by the U.S. subprime mortgage collapse, prompted central banks to adopt Quantitative Easing (QE) policies to stabilize financial markets and stimulate economic recovery. This study investigates the influence of QE on stock market behavior, focusing on feedback trading dynamics and volatility asymmetry in broad-based and sector-specific indices. The results reveal that QE amplifies positive feedback trading, strengthens market trends, and fosters investor overconfidence. Additionally, asymmetric volatility patterns emerge, with negative market shocks exerting a more pronounced effect on volatility than positive ones. These behavioral responses suggest that QE not only supports asset price growth but may also unintentionally reinforce speculative momentum and systemic vulnerability. The findings offer valuable implications for investors and policymakers, emphasizing the psychological consequences of unconventional monetary interventions. By bridging behavioral finance and monetary policy perspectives, the study contributes to a deeper understanding of how QE reshapes investor sentiment and market stability.

ABSTRACT In the post-epidemic era, as China’s economy slows and the risk exposure of various sectors gradually increases, research on the risk contribution of sectors should be strengthened. This study introduces the TVM-MIDAS Copula-MES approach, which considers tail dependencies with asymmetric long memory when capturing the systemic risk contribution of Chinese sectors. We find that incorporating the asymmetric long memory feature of tail dependence can enhance the accuracy of both model fitting and measurement of systematic risk contribution. Furthermore, aside from the consumer sector, all other sectors show some degree of tail-dependent long memory. Compared to other sectors, real estate displays significant long memory in both upper and lower tail dependencies, while the materials and medical sectors exhibit the strongest long memory in upper and lower tail dependencies, respectively. Additionally, during the US subprime crisis, the Chinese financial sector contributed significantly more to systemic risk than other sectors, whereas during the Chinese stock market crash, its contribution was the opposite. Throughout the COVID-19 pandemic, the systemic risk contribution of all Chinese sectors remained relatively stable. Moreover, the Chinese utilities sector has the smallest systematic risk contribution overall, while the information technology sector shows the opposite trend.

The purpose of the current research is to assess the effect of demonetization and internal determinants of private and public listed commercial banks’ profitability in India from 2008 to 2017. Many banks suffered massive losses as a result of subprime mortgages in the United States, as well as the existing economic slump, which resulted in the bankruptcy of many institutions, while banks’ profitability is measured using return on assets (ROA), return on equity (ROE), and net interest margin (NIM), internal determinants that function against the bank’s profitability are operational efficiency, capital adequacy, liquidity, asset quality, asset management, and deposits. The study uses panel data with a two-way random effect model and generalized method of moments. The present study uses a sample of Indian commercial banks listed on the Bombay Stock Exchange. The results indicate that demonetization has a significant negative influence on ROA, ROE, and NIM. In addition, there is a significant difference and variation between private and public banks in the impact of internal determinants on banks’ profitability. The current study adds significant contributions to the body of knowledge in the field of demonetization and internal drivers of private and public banks’ profitability in India, which is important to bankers and other stakeholders. The study was limited to India’s banking sector and its specific social and cultural context during a specific time period, meaning the results do not apply to other sectors.

The 2008 Global Financial Crisis (GFC) and the 2020-2021 COVID-19 pandemic disrupted financial markets, causing volatility, liquidity issues, and shifts in investor behavior. This study analyzes the immediate impacts and recoveries of these events, comparing their characteristics and the effectiveness of policy responses. An event study methodology and a GARCH approach are applied. Results show that -in the GFC Crisis- Lehman Brothers bankruptcy has greater negative impact than the first date of subprime mortgages bad news. In the COVID-19 crisis, closures and vaccines announcements has greater impact than the first COVID-19 case date in US. Also, the GFC Crisis decreased the valuation levels of key financial indicators as equal as the COVID-19, but this last was less volatility pronounced. These results highlight the importance of timely and effective public policy interventions to mitigate the adverse effects of such crises on financial markets.