Similar Search Results

Assessing interbank contagion using simulated networks

Hałaj, Grzegorz; Kok Sørensen, Christoffer - 2013

Persistent link: https://www.econbiz.de/10009765565

On the optimal control of interbank contagion in the euro area banking system

Fukker, Gábor; Kok Sørensen, Christoffer - 2021

of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a …

Persistent link: https://www.econbiz.de/10012519357

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

proprietary ECB datasets, including an interbank network of 26 large euro area banks as well as their overlapping portfolios of …

Persistent link: https://www.econbiz.de/10012384482

Do stress tests matter? : evidence from the 2014 and 2016 stress tests

Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017

Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...

Persistent link: https://www.econbiz.de/10011648333

Macroprudential policy measures : macroeconomic impact and interaction with monetary policy

Cozzi, Guido; Darracq Pariès, Matthieu; Karadi, Peter; … - 2020

This paper examines the interactions of macroprudential and monetary policies. We find, using a range of macroeconomic models used at the European Central Bank, that in the long run, a 1% bank capital requirement increase has a small impact on GDP. In the short run, GDP declines by 0.15-0.35%....

Persistent link: https://www.econbiz.de/10012165315

Interconnected banks and systemically important exposures

Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019

supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of …

Persistent link: https://www.econbiz.de/10012132464

The systemic implications of bail-in : a multi-layered network approach

Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok Sørensen, … - 2017

-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area …

Persistent link: https://www.econbiz.de/10011636947

Macro stress testing euro area banks' fees and commissions

Kok Sørensen, Christoffer; Mirza, Harun; Pancaro, Cosimo - 2017

total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis …

Persistent link: https://www.econbiz.de/10011637357

Multi-layered interbank model for assessing systemic risk

Montagna, Mattia; Kok Sørensen, Christoffer - 2016

Persistent link: https://www.econbiz.de/10011618800

CoMap: mapping contagion in the euro area banking sector

Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019

This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within … risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology … that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a …

Persistent link: https://www.econbiz.de/10011959290