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Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

Persistent link: https://www.econbiz.de/10010815986

How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?

Hauton, G.; Héam, J.-C. - Banque de France - 2014

-periphery" structure, usually applied to banking network, is still valid with insurance companies. However this structure is no longer … light on the pivotal role of financial conglomerates active in both the banking sector and the insurance sector. …

Persistent link: https://www.econbiz.de/10011204396

Analyse du risque de contrepartie de la réassurance pour les assureurs français

Frey, L.; Tavolaro, S.; Viol, S. - Banque de France - 2013

Cette analyse a pour objectif de présenter les enjeux de la réassurance en France en se concentrant, au travers de deux exercices de stress tests distincts, sur le risque de contrepartie généré par les cessions de provisions. Les données réglementaires permettent la détermination d’un...

Persistent link: https://www.econbiz.de/10010929759

Deposit Insurance Adoption and Bank Risk-Taking: the Role of Leverage

Lé, M. - Banque de France - 2013

Explicit deposit insurance is a crucial ingredient of modern financial safety nets. This paper investigates the effect … of deposit insurance adoption on individual bank leverage. Using a panel of banks across 117 countries during the period … 1986-2011, I show that deposit insurance adoption pushes banks to increase significantly their leverage by reducing their …

Persistent link: https://www.econbiz.de/10010929763

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...

Persistent link: https://www.econbiz.de/10010929765

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

Persistent link: https://www.econbiz.de/10010929766

A mathematical treatment of bank monitoring incentives

Pagès, H.; Possamai, D. - Banque de France - 2012

In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [15], with optimal contracting between a competitive investor and an impatient bank monitoring a pool of long-term loans subject to Markovian contagion. We provide here a comprehensive mathematical...

Persistent link: https://www.econbiz.de/10010544323

Credit Growth and Bank Capital Requirements: Binding or Not?

Labonne, C.; Lamé, G. - Banque de France - 2014

This paper examines the sensitivity of non-financial corporate lending to banks' capital ratio and their supervisory capital requirements. We use a unique database for the French banking sector between 2003 and 2011 combining confidential bank-level Bank Lending Survey answers with the...

Persistent link: https://www.econbiz.de/10010815964

Bank monitoring incentives and optimal ABS

Pagès, H. - Banque de France - 2012

The paper examines a continuous-time delegated monitoring problem between a competitive investor and an impatient bank monitoring a pool of long-term loans subject to Markovian "contagion." Moral hazard induces a foreclosure bias unless the bank is compensated with the right incentive-compatible...

Persistent link: https://www.econbiz.de/10010815979

Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach.

Darne, O.; Levy-Rueff, O.; Pop, A. - Banque de France - 2013

We propose a rigorous and flexible methodological framework to select and calibrate initial shocks to be used in bank stress test scenarios based on statistical techniques for detecting outliers in time series of risk factors. Our approach allows us to characterize not only the magnitude, but...

Persistent link: https://www.econbiz.de/10010815985