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...

This paper examines the relevance of banks' exposure to climate transition risk in the interbank lending market. Using transaction-level data on repo agreements, we first establish that banks with higher exposure to transition risk face significantly higher borrowing costs. This premium is a...

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...

Under which conditions do usability constraints for regulatory capital buffers emerge? To answer this question, we build a non-linear structural banking sector model with a minimum capital requirement that banks are not allowed to breach, and a capital buffer requirement (CBR) that banks can...

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...

Conventional risk assessment frameworks usually define risk as a function of vulnerabilities and threats, but they frequently lack a single quantitative model that incorporates the unique features of each element. In order to close this gap, this paper creates a flexible, open, and theoretically...

In this paper, we analyse data from 493 listed banks across 28 countries to investigate the impact and mechanisms through which banks' derivatives holdings influence systemic risk. Our empirical results indicate that banks' derivatives holdings significantly increase systemic risk. Regarding the...

This study quantifies the impact of geopolitical risk on euro area banks using the 2025 EU-wide stress test, the first to include an explicit geopolitical scenario. Comparing outcomes with earlier stress tests, we find that geopolitical shocks measurably erode capital ratios, with smaller and...

This study quantifies the impact of geopolitical risk on euro area banks using the 2025 EU-wide stress test, the first to include an explicit geopolitical scenario. Comparing outcomes with earlier stress tests, we find that geopolitical shocks measurably erode capital ratios, with smaller and...

Spikes in geopolitical risk indices have been associated with lower bank stability, leading supervisors to closely monitor how they are being managed by lenders. We propose a set of key elements that should be part of bank's geopolitical risk management systems and review an array of plausible...

Spikes in geopolitical risk indices have been associated with lower bank stability, leading supervisors to closely monitor how they are being managed by lenders. We propose a set of key elements that should be part of bank's geopolitical risk management systems and review an array of plausible...

This study quantifies the impact of geopolitical risk on euro area banks using the 2025 EU-wide stress test, the first to include an explicit geopolitical scenario. Comparing outcomes with earlier stress tests, we find that geopolitical shocks measurably erode capital ratios, with smaller and...

This paper estimates the daily market risk of Italian bank securities portfolios under different model assumptions, using granular data on all banks and exposures from 2008 to 2023. Market risk is measured via value-at-risk and expected shortfall, estimated with three approaches: (1)...

This study examines the influence of operational risks (ORs) on the operational performance of deposit money banks (DMBs) in Nigeria, focusing on six dimensions: people-caused, internal process-caused, system-caused, damage to physical assets, external events and legal-caused operational risks...

On March 9, 2023, Silicon Valley Bank's (SVB) stock fell 60% while customers withdrew $42 billion in deposits in the largest ever bank run. One of the underlying culprits was massive losses in SVB's long-term treasury holdings, much of which was categorized as held-to-maturity (HTM), a...

The COVID-19 pandemic precipitated a surge in the non-performing assets held by financial institutions, elevating systemic risk in financial networks. Therefore, developing strategies to alleviate this risk, with a focus on non-performing assets, has become a research area of interest. Supported...