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-induced losses when considering the network layers individually. In addition, a bank “systemic importance” measure based on the multi …
Persistent link: https://www.econbiz.de/10012984392
supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of …
Persistent link: https://www.econbiz.de/10012858962
This paper illustrates that systemically important banks reduce a range of activities at year-end, leading to lower additional capital requirements in the form of G-SIB buffers. The effects are stronger for banks with higher incentives to reduce the indicators, and for banks with balance sheet...
Persistent link: https://www.econbiz.de/10013315360
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...
Persistent link: https://www.econbiz.de/10013110784
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10013001189
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The proposed model makes use of the network structure of financial institutions by including the stock return series of all...
Persistent link: https://www.econbiz.de/10013014960
parent bank. We fi nd that the rise in counterparty risk substantially decreased the probability of obtaining funds from …
Persistent link: https://www.econbiz.de/10012962465
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10012953806
, we show that the economic impact of changes in bank capital requirements depends on the state of the macro …, the impact on bank loan supply works through a ”pricing channel” which is small: around 0.1% less loans for a 1pp increase …
Persistent link: https://www.econbiz.de/10014353362