We present the application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise of domestic banks, large international banks and TARGET countries, the links are established by payments between the nodes. Traditional measures...

This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...

In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to-default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and...

Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic...

We analyse the development of foreign bank penetration in Central and Eastern Europe (CEE) and its influence on the stability of bank credit. We measure both cross-border credit and activities of foreign bank subsidiaries within CEE. By combining BIS statistics and BankScope data into a unique...

We study whether foreign and domestic banks in Central and Eastern Europe have reacted differently to business cycle conditions and host country banking crises. Our unique panel dataset comprises data of more than 300 banks for the period 1993-2000, with detailed information on bank ownership...

We study whether foreign and domestic banks in Central and Eastern Europe react differently to business cycle conditions and host country banking crises. Our unique panel dataset comprises data of more than 250 banks for the period 1993-2000, with detailed information on bank ownership and mode...

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main drivers of the recent financial crisis. The model takes into account the first and second round (feedback) effects of shocks, induced by behavioural reactions of heterogeneous...

We study whether foreign and domestic banks in Central and Eastern Europe have reacted differently to business cycle conditions and host country banking crises. Our unique panel dataset comprises data of more than 300 banks for the period 1993-2000, with detailed information on bank ownership....