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Repo markets, counterparty risk and the 2007/2008 liquidity crisis
Ewerhart, Christian; Tapking, Jens - 2008
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided...
Persistent link: https://www.econbiz.de/10011604955
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Negative monetary policy rates and systemic banks' risk-taking: Evidence from the euro area securities register
Bubeck, Johannes; Maddaloni, Angela; Peydró, José-Luis - 2020
the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for … they do not pass negative rates to retail customers, in turn investing more in securities, especially in those yielding … higher returns. Effects are stronger for less capitalized banks, private sector (financial and non-financial) securities and …
Persistent link: https://www.econbiz.de/10012422060
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2024
Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...
Persistent link: https://www.econbiz.de/10015199543
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A model of system-wide stress simulation: Market-based finance and the Covid-19 event
Di Iasio, Giovanni; Alogoskoufis, Spyridon; Kördel, Simon - 2022
of marketable securities) across agents and (ii) balance sheet losses. It also provides quantitative evidence on …
Persistent link: https://www.econbiz.de/10013368001
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Latent fragility: Conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022
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/10014278517
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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks
Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022
One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...
Persistent link: https://www.econbiz.de/10014278526
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Estimating systemic risk for non-listed euro-area banks
Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023
The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...
Persistent link: https://www.econbiz.de/10014543598
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Decomposing systemic risk: The roles of contagion and common exposures
Hałaj, Grzegorz; Hipp, Ruben - 2024
We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common...
Persistent link: https://www.econbiz.de/10014543608
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How does risk flow in the credit default swap market?
D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomas; … - 2017
We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...
Persistent link: https://www.econbiz.de/10011667197
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Multiple lending, credit lines and financial contagion
Cappelletti, Giuseppe; Mistrulli, Paolo Emilio - 2017
Multiple lending has been widely investigated from both an empirical and a theoretical perspective. Nevertheless, the implications of multiple lending for the stability of the banking system still need to be understood. By lending to a common set of borrowers, banks are interconnected and then...
Persistent link: https://www.econbiz.de/10011804404