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Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

Persistent link: https://www.econbiz.de/10012597978

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...

Persistent link: https://www.econbiz.de/10014278677

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

Persistent link: https://www.econbiz.de/10012384482

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

Persistent link: https://www.econbiz.de/10012387048

Contagion accounting in stress-testing

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - In: Journal of economic dynamics & control 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013464710

Backtesting macroprudential stress tests

Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - In: Journal of economic dynamics & control 137 (2022), pp. 1-33

Persistent link: https://www.econbiz.de/10013464518

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

Persistent link: https://www.econbiz.de/10012050871

Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk

Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400

Persistent link: https://www.econbiz.de/10010476907

Sources of funding in a crisis : evidence from investment banks

Helwege, Jean; Jindra, Jan - In: The Quarterly Journal of Finance : QJF 13 (2023) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10014442295

Portfolio diversification and systemic risk in interbank networks

Tasca, Paolo; Battiston, Stefano; Deghi, Andrea - In: Journal of economic dynamics & control 82 (2017), pp. 96-124

Persistent link: https://www.econbiz.de/10011915509

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