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Funding liquidity risk in a quantitative model of systemic stability

Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - Bank of England - 2009

We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...

Persistent link: https://www.econbiz.de/10009228596

A network model of financial system resilience

Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - Bank of England - 2012

We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents -...

Persistent link: https://www.econbiz.de/10010839048

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 …

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

The impact of capital requirements on bank lending

Bridges, Jonathan; Gregory, David; Nielsen, Mette; … - Bank of England - 2014

We estimate the effect of changes in microprudential regulatory capital requirements on bank capital ratios and bank … lending. We do so by running panel regressions using a rich new data set, exploiting variation in individual bank capital … mostly recovers within three years. While estimated over a different policy regime and at the individual bank level, these …

Persistent link: https://www.econbiz.de/10010839049

Size and complexity in model financial systems

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

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

Estimating the impact of changes in aggregate bank capital requirements during an upswing

Noss, Joseph; Toffano, Priscilla - Bank of England - 2014

the aggregate bank capital requirement during an economic upswing is associated with a reduction of lending, with the …

Persistent link: https://www.econbiz.de/10010839058

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

Endogenous choice of bank liquidity: the role of fire sales

Acharya, Viral; Song Shin, Hyun; Yorulmazer, Tanju - Bank of England - 2009

Banks’ liquidity is a crucial determinant of the adversity of banking crises. In this paper, we consider the effect of fire sales and entry during crises on banks’ ex-ante choice of liquid asset holdings. We consider a setting with limited pledgeability of risky cash flows relative to safe...

Persistent link: https://www.econbiz.de/10005038439

Identifying channels of credit substitution when bank capital requirements are varied

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

control the supply of bank credit. Regulatory efforts to influence the aggregate supply of credit may be thwarted to some … suited to address these questions, given its unique regulatory history (UK bank regulators imposed bank-specific and time …

Persistent link: https://www.econbiz.de/10010736761

UK deposit-taker responses to the financial crisis: what are the lessons?

Francis, William - Bank of England - 2014

While the financial crisis took a large toll on the UK banking industry overall, some institutions were forced to undertake more intensive efforts to deal with the economic downturn and onset of financial difficulties. This study examines whether and how the characteristics of these institutions...

Persistent link: https://www.econbiz.de/10010791353