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Central counterparties and the topology of clearing networks

Galbiati, Marco; Soramaki, Kimmo - Bank of England - 2013

Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the...

Persistent link: https://www.econbiz.de/10010839038

How does credit supply respond to monetary policy and bank minimum capital requirements?

Aiyar, Shekhar; Calomiris, Charles; Wieladek, Tomasz - Bank of England - 2014

We use data on UK banks’ minimum capital requirements to study the interaction of monetary policy and capital requirement regulation. UK banks were subject to both time-varying capital requirements and changes in interest rate policy. Tightening of either capital requirements or monetary...

Persistent link: https://www.econbiz.de/10010927827

The international transmission of bank capital requirements: evidence from the United Kingdom

Aiyar, Shekhar; Calomiris, Charles; Hooley, John; … - Bank of England - 2014

We use data on UK banks’ minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999 Q1 to 2006 Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are...

Persistent link: https://www.econbiz.de/10010764521

Systemic capital requirements

Webber, Lewis; Willison, Matthew - Bank of England - 2011

The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks’...

Persistent link: https://www.econbiz.de/10009358602

Size and complexity in model financial systems

Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - Bank of England - 2012

questions using a deliberately simplified, dynamical model of a banking system which combines three different channels for … direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via …

Persistent link: https://www.econbiz.de/10010839052

Contagion in financial networks

Gai, Prasanna; Kapadia, Sujit - Bank of England - 2010

, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the …

Persistent link: https://www.econbiz.de/10010704384

Liquidity risk, cash-flow constraints and systemic feedbacks

Kapadia, Sujit; Drehmann, Mathias; Elliott, John; … - Bank of England - 2012

The endogenous evolution of liquidity risk is a key driver of financial crises. This paper models liquidity feedbacks … undermining confidence. Stressed banks’ defensive actions include liquidity hoarding and asset fire sales. This behaviour can … which these channels of contagion operate, and conduct illustrative simulations to show how liquidity feedbacks may markedly …

Persistent link: https://www.econbiz.de/10010704394

Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk

Garratt, Rodney; Webber, Lewis; Willison, Matthew - Bank of England - 2012

An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the …

Persistent link: https://www.econbiz.de/10004990657

Quantitative easing and bank lending: a panel data approach

Joyce, Michael; Spaltro, Marco - Bank of England - 2014

Studies of the Bank of England’s quantitative easing (QE) policy have tended to focus on its impact on financial markets and the broader macroeconomy. Less attention has been given to the effect on banks’ balance sheets and bank lending. In this paper we use a new non-publicly available...

Persistent link: https://www.econbiz.de/10010890904

Filtered historical simulation Value-at-Risk models and their competitors

Gurrola-Perez, Pedro; Murphy, David - Bank of England - 2015

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...

Persistent link: https://www.econbiz.de/10011195642