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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

Cross-border interbank contagion in the European banking sector.

Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015

propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …

Persistent link: https://www.econbiz.de/10011212945

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

Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.

Gabrieli, S. - Banque de France - 2012

heterogeneous patterns in the interest rates paid to borrow unsecured funds once bank size and other bank and market factors that …, but the economic size of the effect is small. Bank reputation and perceived credit riskiness are the most relevant factors … “punishment”, which possibly reflects market discipline. Bank reputation becomes even more important. (3) After Lehman …

Persistent link: https://www.econbiz.de/10010575494

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

one bank which is more conservative than others. Regarding Probabilities of Default (PDs), the banks exhibit broadly …

Persistent link: https://www.econbiz.de/10011201340

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

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

Voting in committee: firm value vs. back scratching.

Ravanel, M. - Banque de France - 2013

In this paper, I study how the CEO's election can be biased if some directors in the board belong to the same network. I use a static Bayesian game. Directors want to elect the best candidate but they also want to vote for the winner. In that context, results show that, when no candidate is part...

Persistent link: https://www.econbiz.de/10010815987

L’identification des groupes bancaires et d’assurance d’importance systémique mondiale.

Feller J.-B.; Kersuzan M.-D. - Banque de France - 2014

Le 6 novembre 2014, le Conseil de stabilité financière (CSF/FSB) a publié simultanément une liste de trente groupes bancaires et une liste de neuf groupes d’assurance systémiques à l’échelle mondiale. Cette publication est l’aboutissement de travaux annuels du Comité de Bâle et de...

Persistent link: https://www.econbiz.de/10011201337

For a Few Dollars More: Reserves and Growth in Times of Crises

Bussière, M.; Cheng, G.; Chinn, M.; Lisack, N. - Banque de France - 2015

Based on a dataset of 112 emerging economies and developing countries, this paper addresses the question whether the accumulation of international reserves has effectively protected countries during the 2008-09 financial crisis. More specifically, the paper investigates the relation between...

Persistent link: https://www.econbiz.de/10011272194