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Simulations in the Dutch interbank payment system: A sensitivity analysis
Heijmans, Ronald - de Nederlandsche Bank - 2009
This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value … transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many … of the payment value has been applied to the three large banks in the Dutch system. The collateral level has also been …
Persistent link: https://www.econbiz.de/10005101806
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Size and support ratings of US banks
Poghosyan, Tigran; Werger, Charlotte; Haan, Jakob de - de Nederlandsche Bank - 2014
We examine whether Fitch support ratings of US banks depend on bank size. Using quarterly data for the period 2004:Q4 to 2012:Q4 and controlling for several factors that make large and small banks different, we find that bank size is positively related to support ratings. However, the effect is...
Persistent link: https://www.econbiz.de/10010885311
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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...
Persistent link: https://www.econbiz.de/10010543516
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Bank liquidity, the maturity ladder, and regulation
Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012
We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...
Persistent link: https://www.econbiz.de/10010757286
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When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour
End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2009
This paper provides empirical evidence of behavioural responses by banks and their contribution to system-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures of size and herding show that balance sheet adjustments...
Persistent link: https://www.econbiz.de/10008500697
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Internal Capital Markets in Multinational Banks: Implications for European Transition Countries
Haas, Ralph de; Naaborg, Ilko - de Nederlandsche Bank - 2005
We use focused interviews with bank managers to analyse how multinational banks use internal capital markets to control their subsidiaries. It is found that foreign bank affiliates are strongly influenced by the capital allocation and credit steering mechanisms of the parent bank. Parent banks...
Persistent link: https://www.econbiz.de/10005101850
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Loan Extension in China: a Rational Affair
Gennip, Piet van - de Nederlandsche Bank - 2005
Against the background of the problem of Non Performing Loans, the lack of data causes banking behaviour in China being wrapped in mystery. By making use of data reported by Shenzhenlisted firms, this paper reveals some stylized facts on loan extension in China. For that purpose both static and...
Persistent link: https://www.econbiz.de/10005106686
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Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk
End, Jan Willem van den - de Nederlandsche Bank - 2008
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...
Persistent link: https://www.econbiz.de/10005030214
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Systemic Risk Allocation for Systems with A Small Number of Banks
Qin, Xiao; Zhou, Chen - de Nederlandsche Bank - 2013
This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems....
Persistent link: https://www.econbiz.de/10010659996
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A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio
End, Jan Willem van den - de Nederlandsche Bank - 2013
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...
Persistent link: https://www.econbiz.de/10010822694