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The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619088

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The liquidity coverage ratio a decade on : a stocktake of the literature

Dörr, Sebastian; Drehmann, Mathias - 2026

Book / Working Paper

Monetary asymmetry and ESG governance in the Eurozone : mapping evolving risk narratives through bibliometric analysis

Garefalakis, Alexandros; Angelaki, Erasmia; … - 2026

This paper investigates how monetary and ESG-related risks-especially those stemming from asymmetric policy transmission across Eurozone economies-have evolved over time, with a focus on the post-COVID-19 era. Using a mixed-method bibliometric analysis of 216 peer-reviewed articles (1996-2025),...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611568

Liquidity spirals

Wiersema, Garbrand; Kemp, Esti; Farmer, J. Doyne - 2026

The financial crisis of 2007-2008 highlighted the risks that liquidity spirals pose to financial stability. We introduce a novel method for studying liquidity spirals and use this method to identify spirals before stock prices plummet and funding markets lock up. We show that liquidity spirals...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592365

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - 2026

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591384

Disentangling the "shadow banking" metaphor

Labat Moles, Héctor - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604801

Comparative analysis of stablecoin architectural features in fragmented regulatory environments

Vlasov, Andrej Vasil'evič; Egorov, Andrej Jur'evič; … - 2026

Amidst the escalating geopolitical fragmentation of the global financial system, divergent stablecoin architectures are emerging. This study employs Qualitative Comparative Analysis (QCA) and introduces a formalized 'Geopolitical Stablecoin' (GPSC) model to conduct a systematic comparison of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628479

Investigating the systematically important equity sectors in extreme conditions : a case of Johannesburg Stock Exchange

Lawrence, Babatunde; Chaturvedi, Anurag; Obalade, … - 2026

This study examined the 'too central to fail' concept in the South African equity sector. We employed the Granger causality framework and PageRank algorithm to generate the centrality scores of the sectors on the Johannesburg Stock Exchange under extreme market conditions. Using the realized...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639065

Critical regimes of systemic risk : flow network cascades in the U.S. banking system

Montañez Jacquez, Samuel; Quezada Téllez, Luis Alberto; … - 2026

Systemic risk in banking systems arises from losses transmitted through networks of contractual exposures. Yet, most widely used measures rely on market-implied volatility and equity prices rather than structural balance sheet fragilities. This paper develops a flow network framework that models...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639141

Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index

Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - 2026

Financial markets often display nonlinear and turbulent dynamics during periods of stress, and crude-oil and global equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic features and regime-dependent spillovers across...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643357

Understanding systemic risks in the Canadian financial system

Bruneau, Gabriel; Clazie-Thomson, Sascha; Duprey, Thibaut; … - 2026 - Last updated: June 11, 2026

This paper reviews recent efforts to monitor and assess systemic risk in the Canadian financial system and outlines a framework for future system-wide stress testing. We examine how perceived and actual interconnections-across banks and non-bank financial institutions, domestic and foreign...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015661657

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647638

Bank regulation and the rise of nonbank intermediation

Brunetti, Celso; Frei, Christoph - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653205

Calibrating the positive neutral and overall CCyB : a macroprudential stress testing approach

Mikaliūnaitė-Jouvanceau, Ieva - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669004

CyRISK : a capital shortfall measure of cyber risk in the financial system

Eling, Martin; Häusle, Niklas; Irresberger, Felix; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665616

Sentiment analysis and financial stability in Uganda

Mukasa, Phillipa; Nyanzi, Joseph Ssentamu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675645

From regulatory risk to systemic risk : the role of green FinTech in financial stability

Kálmán, János - 2026

Green fintech operates at the intersection of sustainable finance, digital innovation, and financial-sector risk governance. It promises to improve the allocation of capital toward environmentally sustainable activities by lowering information costs, scaling disclosure tools, automating...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676733

From regime detection to decision rules : a data-driven macro-financial CVaR framework for European multi-asset portfolios

Martín-Lunas, Jorge Grube; Lazcano, Ana; Sandubete, … - 2026

Weekly macro-financial and financial market data, combined with machine learning methods, offer new possibilities for identifying latent economic states in real time, but the portfolio value of regime detection depends critically on how detected states are translated into allocation rules. This...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676776

Eskom-induced metabolic arrest in JSE financial hypergraphs : a physics-informed entropy protocol for systemic risk governance

Moroke, Ntebogang Dinah - 2026

Physical infrastructure failure induces topological phase transitions in financial networks that existing systemic risk models cannot detect, attribute, or govern. This study introduces CASCADEnt (Cascading Systemic-Entropy-Detecting Network), a physics-informed entropy protocol for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059255

Transformed Intermediation : Credit Risk to NBFIs, Liquidity Risk to Banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

We argue that the rapid asset growth of nonbank financial intermediaries (NBFIs) relative to banks is the outcome of transformations of risks between banks and NBFIs that increase the interconnectedness of the two sectors. These transformations are consistent with avoiding tighter, post-GFC bank...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593753

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Transformed intermediation : credit risk to NBFIs, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

Transformed intermediation : credit risk to nbfis, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

Systemic cyber risk

Baker, Steven D.; Lee, Michael Junho - 2026

We propose a quantitative framework to track systemic risk arising from cyber vulnerabilities of the U.S. financial system. Synthesizing financial, economic, cyber, and network data that covers thousands of financial institutions and technological firms, we develop an index that tracks...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614725

Transformer-based CoVaR : systemic risk in textual information

Chen, Junyu; Booth, Tom; Kong, Lingwei; Wang, Weining - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676116

AI agents in financial markets : architecture, applications, and systemic implications

Gong, Hui - 2026

Recent advances in large language models, tool-using agents, and financial machine learning are shifting financial automation from isolated prediction tasks to integrated decision systems that can perceive information, reason over objectives, and generate or execute actions. The paper develops...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064288

Neo-conglomerates and EU regulatory perimeter challenges : state of play and evaluation of policy options

Athanassiou, Phoebus; Czák-Ludwig, Stephanie; Di … - 2026

This paper examines the implications of the provision, in the European Union, of bank-like services, including payment services, by large non‑bank groups (i.e. groups that do not comprise entities with a banking licence), and evaluates policy options to address the emergence of so-called...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061038

Systemic at home : the persistence of a too-big-to-fail premium in Europe

Deen, Laura; Dimitrov, Daniel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083580

Operationalising FinTech-related systemic risks : an evidence-mapped Macroprudential Integration Framework (FMIF)

Kálmán, János; Lapsánszky, András - 2026

Digital finance is reshaping financial intermediation through platform-based credit, stablecoin-based payment and settlement arrangements, and a rapidly deepening reliance on critical third-party technology providers. Existing international frameworks identify many of these vulnerabilities, but...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064033

Solvency and systemic risk of European life insurers

Chatterjee, Somnath; Humphry, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064174

Credit risk externalities : evidence from European non-performing loan spillovers

Giannoulakis, Michail; Giannoulakis, Stelios; Ongena, Steven - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081718

Contagion of affinity : predicting CDS spikes in global systemically important banks

Reichmuth, Gisela - 2026

This paper examines the predictive power of credit default swap (CDS) spread correlations in the context of the 2023 Credit Suisse failure. Using a two-window design, we separate a 50-week pre-crisis period from the final two-week "jump" window and evaluate whether historical market-implied...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016087220

Systemic runs and the dimension of financial fragility

Meyerheim, Gerrit - 2026

Financial institutions meet withdrawals by selling overlapping portfolios, so creditor runs and market prices are jointly determined. I derive an exact asset-market representation. A local architecture rank bounds propagation dimensions for queries that factor through bank-cushion shocks and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016086458

Systemic risk synchronization across European banking and insurance sectors : a time-warping and entropy approach

Montuori, Eduardo; Benedetto, Francesco; Mastroeni, Loretta - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093100

Commercial real estate debt financing in Europe : evidence from a network analysis

Aliman, Mihai; Regnér, Martin; Sarchi, Cecilia; … - 2026

The commercial real estate (CRE) sector is a source of financial stability risk, yet its financing structures remain poorly understood because of complex corporate group structures and data limitations. This paper investigates the financing networks of the 100 largest CRE groups in the euro...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070452

Market insurance and risk pooling in U.S. crop insurance

Fan, Fan; Liu, Yong; Ramsey, A. Ford; Leatham, David J. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093832

Systemic risk and the insurance sector : a network perspective

Sylos Labini, Stefania; D'Apolito, Elisabetta; Nyenno, Iryna - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015101848

Sectoral credit allocation and systemic risk

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015323463

Can effects of weather variation predict future economic downturn? : Evidence from systemic risk in Indian financial markets

Thakkar, Pratik - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015375161

Reassessment of structural changes in financial markets : the direct impact of central banks

Miró, Damià Rey; Piffaut, Pedro V.; Zurdo, Ricardo Palomo - 2025

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015375716

Carrying the (paper) burden : a portfolio view of systemic risk and optimal bank size

Bos, Jaap W. B.; Lamers, Martien; Peyrache, Antonio; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330426

Navigating uncertainty in an emerging market : data-centric portfolio strategies and systemic risk assessment in the Johannesburg Stock Exchange

Muteba Mwamba, John; Mba, Jules C.; Kitenge, Anaclet K. - 2025

This study investigates systemic risk, return patterns, and diversification within the Johannesburg Stock Exchange (JSE) during the COVID-19 pandemic, utilizing data-centric approaches and the ARMA-GARCH vine copula-based conditional value-at-risk (CoVaR) model. By comparing three investment...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338318