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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
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Do LTV and DSTI caps make banks more resilient?
Dietsch, M.; Welter-Nicol, C. - Banque de France - 2014
demonstrate the efficiency of credit standards which constrain the households’ indebtedness. On average, credit risk tends to grow …
Persistent link: https://www.econbiz.de/10010929761
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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
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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/10010929766
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Credit and Liquidity in Interbank Rates: a Quadratic Approach.
Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013
We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...
Persistent link: https://www.econbiz.de/10010815975
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Pre-crisis credit standards: monetary policy or the savings glut?
Penalver, A. - Banque de France - 2014
This paper presents a theoretical model of how banks set their credit standards. It examines how a monopoly bank sets … general equilibrium. The bank loan contract considered specifies the interest rate, the monitoring intensity and a … profitability covenant. Within this class of contract, the bank chooses the terms which maximise steady-state profits subject to the …
Persistent link: https://www.econbiz.de/10010961061
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Can Financial Infrastructures Foster Economic Development?.
Amable, B.; Chatelain, J.-B. - Banque de France - 2001
In this paper, financial infrastructures increase the efficiency of the banking sector: they decrease the market power …
Persistent link: https://www.econbiz.de/10005487052
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What has been the impact of the 2008 crisis on firms’ default? (in French).
Fougère, D.; Golfier, C.; Horny, G.; Kremp, E. - Banque de France - 2013
The acceleration of the firm failure rate in France between 2008 and 2010 was preceded by a surge in the number of firms’ creations in 2003-2004. Therefore, identifying the impact of the 2008 crisis requires to distinguish, among the failures occurring over the period, those resulting from the...
Persistent link: https://www.econbiz.de/10010726922
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The international transmission of house price shocks.
de Bandt, O.; Barhoumi, K.; Bruneau, C. - Banque de France - 2010
In order to assess transmission mechanisms between global and domestic house prices, and possibly contagion effects, we use a large database of macroeconomic variables for OECD countries. We extract common factors to summarize the comovements of the variables and include them in stationary FAVAR...
Persistent link: https://www.econbiz.de/10008503206
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Macroeconomic Fluctuations and Corporate Financial Fragility
Bruneau, C.; de Bandt, O.; El Amri, W. - Banque de France - 2011
Using a large sample of accounting data for non-financial companies in France, this paper studies the interactions between macroeconomic shocks and companies' financial fragility. We consider links in both directions, namely whether firms' bankruptcies are affected by macroeconomic variables,...
Persistent link: https://www.econbiz.de/10005036172