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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

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

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

Contagion in financial networks

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

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure, and asset market liquidity. Our findings...

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 in a quantitative model of systemic risk. The model incorporates a number of channels important in the current financial crisis. As banks lose access to longer-term funding...

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

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

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

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