Narrow search
Showing 1 - 10 of 107
Cover Image
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
Cover Image
Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs.
Andrade, P.; Cahn, C.; Fraisse, H.; Mésonnier, J-S. - Banque de France - 2015
provision of central bank liquidity to banks has on the credit supply to firms. We control for credit demand by examining firms …
Persistent link: https://www.econbiz.de/10011196012
Cover Image
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
This article analyses the dispersion of risk weights for large corporate portfolios and identifies the sources of dispersion among banks in terms of the Basel risk parameters. The analysis focuses on loans granted by 5 large French banking groups to large corporates operating in France and rated...
Persistent link: https://www.econbiz.de/10011201340
Cover Image
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 …
Persistent link: https://www.econbiz.de/10011204394
Cover Image
Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics
Coffinet, J.; Pop, A.; Tiesset, M. - Banque de France - 2010
The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...
Persistent link: https://www.econbiz.de/10008765720
Cover Image
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
Cover Image
Credit Growth and Bank Capital Requirements: Binding or Not?
Labonne, C.; Lamé, G. - Banque de France - 2014
average, more capital means an acceleration of credit. But the elasticity of lending to capital depends on the intensity of … the supervisory capital constraint. More supervisory capital-constrained banks tend to have a credit growth that is less …, credit growth is all the more sensitive to this type of assets as their share rises. However, both aforementioned effects …
Persistent link: https://www.econbiz.de/10010815964
Cover Image
Bank monitoring incentives and optimal ABS
Pagès, H. - Banque de France - 2012
loan sale involving both credit risk retention based on ABS credit default swaps and credit enhancement in the form of a …
Persistent link: https://www.econbiz.de/10010815979
Cover Image
Did the EBA Capital Exercise Cause a Credit Crunch in the Euro Area?
Mésonnier, J-S.; Monks, A. - Banque de France - 2014
We exploit a unique monthly dataset of bank balance sheets to document the lending behaviour of euro area banks that were subject to the EBA's 2011/12 Capital Exercise. This exercise was announced in October 2011 and required large European banking groups to meet a higher Tier 1 capital ratio by...
Persistent link: https://www.econbiz.de/10010815982
Cover Image
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