Credit and interest rate risk are the two most important risks faced by commercial banks in their banking book. In this paper we derive a consistent and comprehensive framework to measure the integrated impact of both risks. By taking account of the repricing characteristics of assets,...

Banks often measure credit and interest rate risk in the banking book separately and then add the risk measures to determine economic capital. This approach misses complex interactions between the two risk types. We develop a framework where these risks are analysed jointly. Since banking book...

The euro's introduction highlights several shortcomings of cash and coins, and some advantages of paying with plastic, but is hard currency an endangered species, threatened by technologically more advanced means of payments, electronic transfers, e-money and the like? If the last twenty years...

Historically, unusually strong increases in credit and asset prices have tended to precede banking crises. Could the current crisis have been anticipated by exploiting this relationship? We explore this question by assessing the out-of-sample performance of leading indicators of banking system...

This article provides a simulation on how the countercyclical capital buffer designed in the Basel III package could impact on bank lending. It finds that the buffer could help to reduce credit growth during booms and attenuate the credit contraction once it is released. This would help to...

We investigate the performance of different variables as anchors for setting the level of the countercyclical regulatory capital buffer requirements for banks. The gap between the ratio of credit to GDP and its long-term backward-looking trend performs best as an indicator for the accumulation...

Excessive private sector debt can undermine economic stability. In this special feature, we propose the debt service ratio (DSR) as a measure of the financial constraints imposed by private sector indebtedness, and investigate its association with recessions and financial crises. We find that...

We investigate the performance of different variables as anchors for setting the level of the countercyclical regulatory capital buffer requirements for banks. The gap between the ratio of credit-to-GDP and its long-term backward-looking trend performs best as an indicator for the accumulation...

Are there simple yet reliable indicators of banks' systemic importance? In addressing this question, this article explores three model-based measures of systemic importance and finds that bank size helps approximate each of them. A bank's total interbank lending and borrowing provide useful...