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Agent-based model of system-wide implications of funding risk

Hałaj, Grzegorz - 2018

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based...

Persistent link: https://www.econbiz.de/10011779837

Interconnected banks and systemically important exposures

Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 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/10012132464

The procyclicality of banking : evidence from the euro area

Huizinga, Harry; Laeven, Luc - 2019

explain about two-thirds of the variation of bank capitalization over the business cycle. We estimate that provisioning …

Persistent link: https://www.econbiz.de/10012015566

Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments

Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …

Persistent link: https://www.econbiz.de/10012024808

Macro stress testing euro area banks' fees and commissions

Kok Sørensen, Christoffer; Mirza, Harun; Pancaro, Cosimo - 2017

This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three...

Persistent link: https://www.econbiz.de/10011637357

Banks, shadow banking, and fragility

Luck, Stephan; Schempp, Paul - 2014

Persistent link: https://www.econbiz.de/10010441156

Bank contagion in general equilibrium

Ferrari, Massimo Minesso - 2020

In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With the tools of network analysis it is possible to study...

Persistent link: https://www.econbiz.de/10012241220

Firm or bank weakness? : access to finance since the European sovereign debt crisis

Corbisiero, Giuseppe; Faccia, Donata - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank … characteristics. This allows us to study simultaneously the role that bank and firm weakness had in the credit reduction observed in … strong determinants of credit rejections, in the crisis period bank weakness made it harder to obtain external finance for …

Persistent link: https://www.econbiz.de/10012150099

Rules and discretion(s) in prudential regulation and supervision : evidence from EU banks in the run-up to the crisis

Maddaloni, Angela; Scopelliti, Alessandro - 2019

framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance … sheets with these prudential indicators to investigate how they affect bank resilience. The share of non-interest income …

Persistent link: https://www.econbiz.de/10012009213

Cross-border banking in the EU since the crisis : what is driving the great retrenchment?

Emter, Lorenz; Schmitz, Martin; Tirpák, Marcel - 2018

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/10011802126