Search Results - subject_exact:"Systemrisiko"

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564039

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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

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

Dörr, Sebastian; Drehmann, Mathias - 2026

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

Survivorship bias in systemic risk estimation

Skouralis, Alexandros - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611084

Deep hybrid CNN-LSTM-GRU model for a financial risk early warning system

Muhammad Ali Chohan; Li, Teng; Abrar, Mohammad; … - 2026

Financial risk early warning systems are essential for proactive risk management in volatile markets, particularly for emerging economies such as China. This study develops a hybrid deep learning model integrating Convolutional Neural Networks (CNNs), Long Short-Term Memory (LSTM), and Gated...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611314

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611568

Systemic risk transmission in commodity markets

Georgescu, Irina - 2026

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614141

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614725

Climate change, bank liquidity and systemic risk

Giuzio, Margherita; Kahraman, Bige; Knyphausen, Jasper - 2026

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592352

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592365

Lender of Last Resort and financial systemic risks in times of economic stability : evidence from 55 countries

Miao, Wenlong; Ma, Yuxian; Huo, Yuanyuan - 2026

As a cornerstone of the modern financial safety net, the Lender of Last Resort (LOLR) is essential in mitigating liquidity crises and containing financial contagion. However, during periods of economic stability, risk-taking incentives in the banking sector may undermine its effectiveness. Using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591371

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591384

When banks and insurers move together : why systemic risk lives in the tails?

Benlaghaa, Noureddinne; Shafiqa, Fahad; Al-Derhamand, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592004

Disentangling the "shadow banking" metaphor

Labat Moles, Héctor - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604801

Margins as canaries in the coal mine

Kubitza, Christian; Oehmke, Martin - 2026

Central clearing counterparties (CCPs) manage counterparty risk by requiring clearing members to post margins. This paper explores the role of margins as "canaries in the coal mine:" By inducing defaults of fragile counterparties before contract maturity, margin calls enable CCPs to transfer...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605599

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620298

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628479

Consumers' path to mortgage delinquency

Zhao, Laura; Xiao, Jia Qi; Witts, Aidan - 2026 - Last updated: February 26, 2026

This paper examines the behavioural patterns of Canadian borrowers as they progress toward mortgage delinquency. Using the full universe of TransUnion borrower credit data from 2015 to 2024, we document that mortgage holders begin increasing their credit utilization roughly two years before...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638041

Government of Canada fixed-income market ecology II : Government of Canada bond dealing

Kocourek, Petr; Walton, Adrian - 2026 - Last updated: March 10, 2026

This paper describes the organization of the market for trading Government of Canada (GoC) bonds. We outline the role of investment dealers in intermediating trading, distributing GoC securities and providing liquidity across the yield curve. We describe the key features of GoC bond trading and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638767

Examining the macro drivers of mortgage arrears in Canada

Pugh, Thomas; Wang, Tao; Webley, Taylor - 2026 - Last updated: March 24, 2026

Mortgage debt represents over 70% of all Canadian household financial liabilities, and the performance of these debts is critical to the health of the financial system. We explore the relationships between mortgage arrears and key macroeconomic fundamentals such as labour market variables,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638772

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015661657

The impact of potential retail central bank digital currency on the Canadian financial system during a severe recession

Priazhkina, Sofia - 2026 - Last updated: June 15, 2026

This policy note examines how a non-interest-bearing retail central bank digital currency (CBDC) could affect the financial stability of Canada's systemically important banks during a severe recession. Stress test results show that the banks remain resilient, maintaining key regulatory ratios...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015661660

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647638

Bank regulation and the rise of nonbank intermediation

Brunetti, Celso; Frei, Christoph - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653205

The dynamic association of economic policy uncertainty, short-term cross-border capital flows and systemic financial risk

Wang, Lu; Wang, Yuting; Zhao, Ziying; Shang, Lin; Wang, … - 2026

The global economic landscape has become increasingly volatile, as rising economic policy uncertainty (EPU) and frequent abnormal fluctuations in short-term cross-border capital flows (SCF) can easily trigger systemic financial risks (SFR). Clarifying the dynamic relationships among these three...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653612

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574503

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Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Book / Working Paper

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Book / Working Paper

Time-varying repayment contracts for financial resilience in mortgage lending

Mai, Chung; Scheule, Harald - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559008

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665616

Systemic risk in European banks : analysis of the 2008-2023 period amid financial and non-financial shocks

Aliu, Florin; Bajra, Ujkan Q.; Hajrizi, Edmond - 2026

The study examines the impact of significant financial and non-financial shocks on the extent to which returns and s-GARCH volatility are connected among the 13 biggest European banks. Financial shocks considered include the 2008/2009 financial crisis and European sovereign debt crisis in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666508

The impact of the global financial cycle on systemic risk and the role of macroprudential policies

Zhu, Mingzhu; Ma, Xuyang - 2026

In an increasingly complex international economic environment, preventing systemic risk requires attention to both domestic conditions and the spillover effects from global financial shocks. This study examines 42 economies to explore the global financial cycle's impact on systemic risk and its...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666459

From synchronicity to fragility : how corporate ESG performance reshapes systemic risk

Shao, Zhiquan; Yu, Bo - 2026

Building on a framework in which firms are interconnected through fire-sale spillover mechanisms, we argue that strong ESG performance acts as a protective buffer for firms with weak financial performance against stock price declines. This reduces the dispersion of asset returns, thereby...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666470

Pricing liquidity support: A PLB for Switzerland

Monnet, Cyril; Niepelt, Dirk; Taudien, Remo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325534

Understanding bank demand for sovereign debt and its systemic risk implications : the Kenyan experience

Ochenge, Rogers - 2025

This study investigates the demand for government securities by Kenyan banks using annual data from 2005 to 2022. Employing a fixed-effects panel regression model, the research examines the factors influencing banks' sovereign debt holdings and their implications for systemic risk. Key findings...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375428

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Understanding bank demand for sovereign debt and its systemic risk implications: The Kenyan experience

Ochenge, Rogers - 2025

Book / Working Paper

Contractionary macroprudential policy, collateral valuation, and risk-shifting in EU banking

Koetter, Michael; Noth, Felix; Wöbbeking, Carl Fabian - 2025 - This version: November 19, 2025

We study real estate lending responses to tighter macroprudential policy (MPP) in the form of lower required loan-to-value (LTV) ratios. Contract details of 2.4 million mortgage loans originated between 2008 and 2020 reveal significantly fewer new loan issuances in response to contractionary...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547319