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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
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Measuring Systemic Risk in a Post-Crisis World
Bandt, O. de; Héam, J.-C.; Labonne, C.; Tavolaro, S. - Banque de France - 2013
In response to the very large number of quantitative indicators that have been put forward to measure the level of systemic risk since the start of the subprime crisis, the paper surveys the different indicators available in the economic and financial literature. It distinguishes between (i)...
Persistent link: https://www.econbiz.de/10010929758
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How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment
Idier, J.; Lamé, G.; Mésonnier, J S. - Banque de France - 2011
We explore the practical relevance from a supervisor's perspective of a popular market-based indicator of the exposure of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be defined as its expected equity loss when the market itself...
Persistent link: https://www.econbiz.de/10009358990
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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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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 … role of liquidity hoarding in the 2007-2009 financial crisis, we incorporate banks' hoarding behaviour in a standard … potential solvency contagion, a market shock leads to banks liquidity hoarding that may generate problems of short-term funding …
Persistent link: https://www.econbiz.de/10010699072
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Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.
Dumontaux, N.; Pop, A. - Banque de France - 2013
The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...
Persistent link: https://www.econbiz.de/10010631356
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Do LTV and DSTI caps make banks more resilient?
Dietsch, M.; Welter-Nicol, C. - Banque de France - 2014
This study provides responses to the question of the effectiveness of Loan-To-Value (LTV) and Debt Service-To-Income (DSTI) caps to contribute to financial stability. Using a lender’s risk management perspective, the paper provides a new methodology extending the standard asymptotic single...
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
credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected … liquidity-related parts and into an expectation part and risk premiums. Our results shed new light on the effects of … the euro interbank market is liquidity-related. …
Persistent link: https://www.econbiz.de/10010815975