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Default risk in an interconnected banking system with endogeneous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - 2011

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a … shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength … of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model …

Persistent link: https://www.econbiz.de/10009295542

Instabile Finanzmärkte

Franke, Günter; Krahnen, Jan Pieter - 2009

Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...

Persistent link: https://www.econbiz.de/10003864312

A sentiment-based risk indicator for the Mexican financial sector

Rho, Caterina; Fernández, Raúl; Palma, Brenda - 2021

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...

Persistent link: https://www.econbiz.de/10012520221

Financial disclosure and market transparency with costly information processing

Di Maggio, Marco; Pagano, Marco - 2014

We study a model where some investors ("hedgers") are bad at information processing, while others ("speculators") have superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade externality: if speculators refrain from trading,...

Persistent link: https://www.econbiz.de/10010424992

Financial market enforcement in France

Batz, Laure de - 2022 - This version: January 2022

This paper puts into perspective enforcement as conducted by the French Financial Market Authority since its creation in 2003 until 2021 with regards to the current state of the literature on financial crimes. We survey exhaustively the three main channels of action: sanctions, settlements...

Persistent link: https://www.econbiz.de/10014533580

Financial stability monitoring

Adrian, Tobias; Covitz, Daniel M.; Liang, Jean Nellie - 2013

While the Dodd-Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...

Persistent link: https://www.econbiz.de/10009721298

Reserves as an instrument for preservation of financial stability : tthe case of EAC economies

Okello, Apaa Jimmy; Mkenda, Beatrice Kalinda; Luvanda, Eliab - 2020

Persistent link: https://www.econbiz.de/10012241262

Assessing and managing rapid credit growth and the role of supervisory and prudential policies

Hilbers, Paul L. C.; Otker-Robe, Inci; … - 2005

Persistent link: https://www.econbiz.de/10003113217

The limits of market-based risk transfer and implications for managing systemic risks

Groome, Todd; Blancher, Nicolas; Haas, Francois; Kiff, John - 2006

Persistent link: https://www.econbiz.de/10003396157

Do "speed bumps" prevent accidents in financial markets?

Gonçalves, Jorge; Kräussl, Roman; Levin, Vladimir - 2019 - This version - July 2019

Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump - Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial...

Persistent link: https://www.econbiz.de/10012115365

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