Similar Search Results

How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment

Idier, Julien; Lamé, Gildas; Mésonnier, Jean-Stéphane - European Central Bank - 2013

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 is in its left tail. We estimate the dynamic MES recently proposed … by Brownlees and Engle (2011) for a panel of 65 large US banks over the last decade and a half. Running panel regressions …

Persistent link: https://www.econbiz.de/10010686754

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart...

Persistent link: https://www.econbiz.de/10005344911

CISS - a composite indicator of systemic stress in the financial system

Holló, Dániel; Kremer, Manfred; Duca, Marco Lo - European Central Bank - 2012

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

Persistent link: https://www.econbiz.de/10010538811

Mapping the state of financial stability

Sarlin, Peter; Peltonen, Tuomas A. - European Central Bank - 2011

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...

Persistent link: https://www.econbiz.de/10009322547

Systemic risk-taking: amplification effects, externalities, and regulatory responses

Korinek, Anton - European Central Bank - 2011

This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...

Persistent link: https://www.econbiz.de/10009643618

Interbank contagion at work: evidence from a natural experiment

Iyer, Rajkamal; Peydró, José-Luis - European Central Bank - 2010

This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust evidence that higher interbank exposure to the failed bank...

Persistent link: https://www.econbiz.de/10008545907

Banking system stability: a cross-Atlantic perspective

Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - European Central Bank - 2005

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks’ equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks’ exposure to each other (“contagion risk”) and...

Persistent link: https://www.econbiz.de/10005162899

The securities custody industry

Chan, Diana; Fontan, Florence; Rosati, Simonetta; … - European Central Bank - 2007

Custody is, in essence, a service consisting in holding (and normally administering) securities on behalf of third parties. In step with the growth of sophisticated financial markets, custody has evolved into a complex industry no longer characterised by physical safekeeping but by a range of...

Persistent link: https://www.econbiz.de/10005530658

Systemic risk in alternative payment system designs

Galos, Peter; Soramäki, Kimmo - European Central Bank - 2005

The paper analyses the consequences of an isolated, sudden and unexpected failure of a bank in alternative interbank payment system designs. We assess the exposures and the contagion by a counterfactual analysis assuming that payments currently settled by the pan-European large-value payment...

Persistent link: https://www.econbiz.de/10005530706

Credit risk in general equilibrium

Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - European Central Bank - 2012

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...

Persistent link: https://www.econbiz.de/10010686728