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Market-Based Structural Top-Down Stress Tests of the Banking System

Chan-Lau, Jorge A. - 2013

presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank …

Persistent link: https://www.econbiz.de/10013082485

Market-Based Structural Top-Down Stress Tests of the Banking System

Chan-Lau, Jorge A. - 2013

presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank …

Persistent link: https://www.econbiz.de/10013083401

Supervisory Incentives in a Banking Union

Carletti, Elena - 2016

centralization on bank risk taking depends on the balance of these two effects …

Persistent link: https://www.econbiz.de/10012977777

Competition vs. Stability : Oligopolistic Banking System with Run Risk

Capelle, Damien - 2022

This paper develops a model where large financial intermediaries subject to systemic runs internalize the effect of their leverage on aggregate risk, returns and asset prices. Near the steady-state, they restrict leverage to avoid the risk of a run which gives rise to an accelerator effect. For...

Persistent link: https://www.econbiz.de/10013305673

Macroprudential Policy and Bank Systemic Risk : Does Inflation Targeting Matter?

Belkhir, Mohamed; Ben Naceur, Sami; Candelon, Bertrand; … - 2023

This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk …

Persistent link: https://www.econbiz.de/10014354108

Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems

Chan-Lau, Jorge A. - 2010

The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates...

Persistent link: https://www.econbiz.de/10013147114

Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses

Alla, Zineddine - 2018

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...

Persistent link: https://www.econbiz.de/10012907939

Crisis and Reform : The 1893 Demise of Banca Romana

Pani, Marco - 2018

imbalances. A system of corruption and collusion with politicians and journalists enabled the bank managers to run risky and …

Persistent link: https://www.econbiz.de/10012929936

Financial Stability in an Evolving Regulatory and Supervisory Landscape

Xiao, Yingbin - 2013

This paper runs qualitative and quantitative analyses of the financial soundness of Danish banks. Helped by a series of Denmark's financial policy initiatives, banks have made progress in improving financial stability. However, vulnerabilities remain. To mitigate risks, banks should continue to...

Persistent link: https://www.econbiz.de/10013085614

Real and Financial Vulnerabilities from Crossborder Banking Linkages

Kim, Kyunghun - 2014

This paper looks at the vulnerabilities stemming from banking sector linkages between countries and their macroeconomic effects. It finds that credit risks (from a banking system's claims on other countries) and funding risks (from a banking system's liabilities to another) have declined over...

Persistent link: https://www.econbiz.de/10013048565