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Macroprudential policy at the ECB : institutional framework, strategy, analytical tools and policies

Constâncio, Vítor (ed.); Cabral, Inês (contributor); … - 2019

later conferred on the ECB by the Single Supervisory Mechanism (SSM) Regulation. The paper describes the ECB …

Persistent link: https://www.econbiz.de/10012033308

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10011906282

The Regulatory Responses to the Global Financial Crisis : Some Uncomfortable Questions

Claessens, Stijn - 2014

We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into...

Persistent link: https://www.econbiz.de/10013055666

Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024

This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...

Persistent link: https://www.econbiz.de/10014530302

The ESRB at 1

Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

forthcoming challenges for the ESRB and macroprudential supervision at large. This SUERF Study forms the conference proceedings … on 8-9 November 2011. The purpose of this event was to take stock of first experiences with the ESRB; to discuss current … issues in the field of macroprudential supervision, including the integration of macro-financial elements into macroeconomic …

Persistent link: https://www.econbiz.de/10011711529

Dealing with financial crises : how much help from research?

Pagano, Marco - 2014

Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...

Persistent link: https://www.econbiz.de/10010413174

Analyse et mesure du risque systémique

Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015

This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...

Persistent link: https://www.econbiz.de/10011265545

Transatlantic systemic risk

Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013

In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...

Persistent link: https://www.econbiz.de/10009784871

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010202672

Twelve years after the financial crisis - too-big-to-fail is still with us : comments on the Financial Stability Board's Consultation Report "Evaluation of the effects of too-big-to-fail reforms"

Hellwig, Martin - 2020

The paper contains comments made on the Financial Stability Board's (FSB) Consultation Report concerning the success of regulatory reforms since the global financial crisis of 2007-2009. According to these comments, the FSB’s assessment of the role of equity is too narrow, being phrased in...

Persistent link: https://www.econbiz.de/10012306407