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Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.
Gabrieli, S. - Banque de France - 2012
What influences banks’ borrowing costs in the unsecured money market? The objective of this paper is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow...
Persistent link: https://www.econbiz.de/10010575494
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What is the information content of the SRISK measure as a supervisory tool?
Tavolaro, S.; Visnovsky, F. - Banque de France - 2014
The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...
Persistent link: https://www.econbiz.de/10010929760
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Cross-border interbank contagion in the European banking sector.
Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015
This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure data. Using a model of sequential solvency and liquidity cascades in networks, we analyze geographical patterns of loss propagation from 2008 to 2012. We study the distribution of...
Persistent link: https://www.econbiz.de/10011212945
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Domino Effects when Banks Hoard Liquidity: The French network.
Fourel, V.; Héam, J-C.; Salakhova, D.; Tavolaro, S. - Banque de France - 2013
We investigate the consequences of banks' liquidity hoarding behaviour for the stability of the financial system by proposing a new model of banking contagion through two channels, bilateral exposures and funding shortage. Inspired by the key role of liquidity hoarding in the 2007-2009 financial...
Persistent link: https://www.econbiz.de/10010699072
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How may risk weights differ across banks? Evidence from the corporate portfolios of French banks.
Dietsch M.; Fraisse H.; Frappa S. - Banque de France - 2015
dispersion in LGDs may be related to differences across banks in their collateral policy as well as the inclusion of collateral …
Persistent link: https://www.econbiz.de/10011201340
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Banks’ supply of long term credit after a liquidity shock: Evidence from 2007-2009
Pessarossi, P.; Vinas, F. - Banque de France - 2015
We study the real effect on banks’ credit supply after a negative liquidity shock. Controlling for demand effects, we take advantage of the exogenous international interbank market freeze in 2007-2008 to assess the causal relation between French banks’ liquidity risk and their lending. We...
Persistent link: https://www.econbiz.de/10011204394
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Macroprudential framework:key questions applied to the French case.
Bennani, T.; Després, M.; Dujardin, M.; Duprey, T.; … - Banque de France - 2014
This paper presents the main features of macroprudential policy with a focus on the French case. We first recall the ultimate objective of this policy, which is to prevent and to mitigate systemic risk, i.e. the risk of “widespread disruptions to the provision of financial services that have...
Persistent link: https://www.econbiz.de/10010815921
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Financial (Dis)Integration.
Kharroubi, E. - Banque de France - 2006
foreign lenders consider loans from domestic lenders as firm collateral. This implies that their lending supply is positively … associated with the volume of capital a firm is able to borrow from domestic lenders (collateral effect). On the other hand, the … supply (competition effect). Two different cases are then possible. If foreign lenders are able, in spite of the collateral …
Persistent link: https://www.econbiz.de/10004998820
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Ex Ante Capital Position, Changes in the Different Components of Regulatory Capital and Bank Risk
Camara, B.; Lepetit, L.; Tarazi, A. - Banque de France - 2013
We investigate the impact of changes in capital of European banks on their risk-taking behavior from 1992 to 2006, a time period covering the Basel I capital requirements. We specifically focus on the initial level and type of regulatory capital banks hold. First, we assume that risk changes...
Persistent link: https://www.econbiz.de/10010929762
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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