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Multi-Layered Interbank Model For Assessing Systemic Risk

Montagna, Mattia - 2016

-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

Interconnected Banks and Systemically Important Exposures

Roncoroni, Alan - 2019

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

Behind the Scenes of the Beauty Contest : Window Dressing and the G-SIB Framework

Behn, Markus; Mangiante, Giacomo; Parisi, Laura; Wedow, … - 2021

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

Financial Integration, Specialization and Systemic Risk

Fecht, Falko - 2012

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

The Information in Systemic Risk Rankings

Nucera, Federico - 2016

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

Cyclical Systemic Risk and Downside Risks to Bank Profitability

Lang, Jan Hannes - 2020

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

Systemic Risk Rankings and Network Centrality in the European Banking Sector

Bruyckere, Valerie De - 2015

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

The Role of Counterparty Risk and Asymmetric Information in the Interbank Market

Cappelletti, Giuseppe - 2017

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

The Leverage Ratio, Risk-Taking and Bank Stability

Smith, Jonathan Acosta - 2017

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …

Persistent link: https://www.econbiz.de/10012953806

The State-Dependent Impact of Changes in Bank Capital Requirements

Lang, Jan Hannes; Menno, Dominik - 2023

, 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