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The ECB and IMF indicators for the macro-prudential analysis of the banking sector : a comparison of the two approaches
Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2008
countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …
Persistent link: https://www.econbiz.de/10011639817
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The ECB and IMF Indicators for the Macro-Prudential Analysis of the Banking Sector : A Comparison of the Two Approaches
Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2021
countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …
Persistent link: https://www.econbiz.de/10013316516
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A Framework for Assessing the Systemic Risk of Major Financial Institutions
Huang, Xin - 2016
In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...
Persistent link: https://www.econbiz.de/10013009194
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Coordinated Failure? A Cross-Country Bank Failure Prediction Model
Montgomery, Heather - 2011
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression … analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model …, deposits and in some cases the ratio of non-performing loans, are the most significant predictors of bank failure in both Japan …
Persistent link: https://www.econbiz.de/10013121773
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Coordinated Failure? A Cross-Country Bank Failure Prediction Model
Montgomery, Heather - 2011
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression … analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model …, deposits and in some cases the ratio of non-performing loans, are the most significant predictors of bank failure in both Japan …
Persistent link: https://www.econbiz.de/10013121776
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The ECB and IMF indicators for the macro-prudential analysis of the banking sector: a comparison of the two approaches
Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2008
countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …
Persistent link: https://www.econbiz.de/10011606251
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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a forecastability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2015
Persistent link: https://www.econbiz.de/10011372826
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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - In: Journal of financial stability 26 (2016), pp. 216-227
Persistent link: https://www.econbiz.de/10011705507
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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of...
Persistent link: https://www.econbiz.de/10011518833
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Can Financial Soundness Indicators Help Predict Financial Sector Distress?
Pietrzak, Marcin - 2022
This paper shows how the role of Financial Soundness Indicators (FSIs) in financial surveillance can be usefully enhanced. Drawing from different statistical techniques, the paper illustrates that FSIs generate signals that can accurately detect, with 4 to 12 quarters lead, emerging financial...
Persistent link: https://www.econbiz.de/10013306766