We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...

The Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo) has set the goal of harmonising the processing of corporate actions (CA), based on the ISO 20022 standard. In December 2017 the AMI-SeCo identified a series of harmonisation needs, which served as...

We construct a measure of a bank's relative creditworthiness from Eurosystem's proprietary overnight loan data: the bank's "average overnight borrowing rate spread, relative to overnight rate index" (AOR). We investigate the dynamic relationship between the AOR and the credit default swap spread...

This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...

We analyse the forecasting power of different monetary aggregates and credit variables for US GDP. Special attention is paid to the influence of the recent financial market crisis. For that purpose, in the first step we use a three-variable single-equation framework with real GDP, an interest...

In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk....

We find that the increased use of securitization activity in the banking sector prior to the 2007- 2009 crisis augmented the effect of competition on realized bank risk (i.e. more intense competition and greater use of securitization is correlated with higher levels of realized risk) during the...