Showing 1 - 10 of 156
This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the...
Persistent link: https://www.econbiz.de/10010822704
market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash …
Persistent link: https://www.econbiz.de/10011185013
Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with different seniority levels. We show that tranching...
Persistent link: https://www.econbiz.de/10010543515
We conduct a laboratory experiment to examine under which circumstances a depositor-run at one bank may lead to a depositor-run at another bank. We implement two-person coordination games which capture the essence of the Diamond-Dybvig (1983) bank-run model. Subjects in the roles of followers...
Persistent link: https://www.econbiz.de/10010757292
We investigate the effects of the announcement and the disclosure of the clarification, methodology, and outcomes of the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009-13 period. We find only weak evidence that stress tests after...
Persistent link: https://www.econbiz.de/10010760529
This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...
Persistent link: https://www.econbiz.de/10005101914
We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they … need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining …
Persistent link: https://www.econbiz.de/10005101949
This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...
Persistent link: https://www.econbiz.de/10005106754
The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an...
Persistent link: https://www.econbiz.de/10009188954
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based funding ratios are distorsionary. Liquidity buffers are … overconfidence), excess credit and liquidity risk are best controlled with net funding ratios. Taxes on short-term funding emerge …
Persistent link: https://www.econbiz.de/10009018569