Singapore's deputy prime minister, Tharman Shanmugaratnam, had said in early February that there were 'no systematic risk
concerns' posed by cryptocurrencies.
SELLOFF MAY BE EXCESSIVE: Meanwhile, Morgan Stanley analyst Ken Zerbe argued in a research note of his own that if indeed Citizens Bank proves to be at fault, it appears to be more of an isolated event rather than a systematic risk
If we see a systematic risk
in the financial system, we will make sure the government intervenes," he said.
However, the various empirical studies like Hogan and Warren (1974), Bawa and Lindenberg (1977), Harlow and Rao (1989) and Estrada (2002) claimed that investors are more concerned about the downside systematic risk
and have least concern regarding the upward fluctuations.
In developed countries, the cost of equity is usually determined on the basis of Capital Asset Pricing Model--CAP M (Sharpe, 1964; Litner, 1965) according to which in the state of market equilibrium investors expect return from the security proportional to its systematic risk
According to the FSB, IMF and BIS reports (FSB, IMF and BIS, 2011), prudent analysis, the more important part of prudential supervision, is able to analyze systematic risk
by existing data, quantitative analysis of the method, and to provide appropriate advice and recommendations to the regulatory authorities.
After the reform, streamlined participants' portfolios also held "significantly less equity and exhibited significantly lower risks," mainly due to reduced exposures to systematic risk
factors as compared with "non-streamlined counterparts.
The National Climate Change Committee, for example, is being advised in the development of systematic risk
analyses to identify susceptible coastal zones in the country and to increase their resilience to climate change.
Both the capital asset pricing model (CAPM) which is based on systematic risk
and the risk premium approach which is based on unsystematic risk, have been used to compute expected returns.
test the existence of systematic risk
contagion within the Chinese interbank market with a particular data set from 2005 to 2013.
Moreover, after the reform, streamlined participants' portfolios held significantly less equity and exhibited significantly lower risks by way of reduced exposures to most systematic risk
factors, compared to their non-streamlined counterparts.
Although there is an extensive body of research focused on the return-earnings relation, Basu (2005) and Chambers, Freeman and Koch (2005) argue that empirical evidence on the ERC sensitivity to systematic risk