Showing 1 - 10 of 811
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the “velocity...
Persistent link: https://www.econbiz.de/10013059582
different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature … bank liquidity can be important in managing a liquidity crisis, yet it is not a panacea. It can act as an immediate but …
Persistent link: https://www.econbiz.de/10011605054
, regional banking fragility increases in foreign bank presence and wholesale funding in the US. We further investigate the …
Persistent link: https://www.econbiz.de/10013078980
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...
Persistent link: https://www.econbiz.de/10013109492
The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Lo Duca (2012) "CISS – A Composite Indicator of Systemic Stress in...
Persistent link: https://www.econbiz.de/10013080092
the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank … financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets …% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the …
Persistent link: https://www.econbiz.de/10012871121
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
bank stock underperformance suggest that government-funded bank recapitalizations can often lead to substantial taxpayer …
Persistent link: https://www.econbiz.de/10013227328
significance. Our results do not point to a major role of newly introduced bank levies in explaining cross-border banking …
Persistent link: https://www.econbiz.de/10012926461
bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is … found that marginal rates at central bank auctions may increase if the share of troubled banks becomes too high relative to … market operations needed to absorb large stress levels in interbank money markets and hence contain central bank auction …
Persistent link: https://www.econbiz.de/10013132236