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The credit quality channel: Modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …
Persistent link: https://www.econbiz.de/10011382358
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Centrality-based capital allocations
Alter, Adrian; Craig, Ben; Raupach, Peter - 2015
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10010471493
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna S.; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …
Persistent link: https://www.econbiz.de/10011520978
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Drivers of systemic risk: Do national and European perspectives differ?
Buch, Claudia M.; Krause, Thomas; Tonzer, Lena - 2017
In Europe, the financial stability mandate generally rests at the national level. But there is an important exception. Since the establishment of the Banking Union in 2014, the European Central Bank (ECB) can impose stricter regulations than the national regulator. The precondition is that the...
Persistent link: https://www.econbiz.de/10011642098
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Robustness and informativeness of systemic risk measures
Löffler, Gunter; Raupach, Peter - 2013
responds to idiosyncratic risk. In the presence of contagion, the risk measures provide conflicting signals on the systemic …
Persistent link: https://www.econbiz.de/10010311764
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Centrality-Based Capital Allocations
Alter, Adrian - 2016
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10012988702
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Robustness and Informativeness of Systemic Risk Measures
Löffler, Gunter - 2016
responds to idiosyncratic risk. In the presence of contagion, the risk measures provide conflicting signals on the systemic …
Persistent link: https://www.econbiz.de/10012988798
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Drivers of Systemic Risk : Do National and European Perspectives Differ?
Buch, Claudia M.; Krause, Thomas; Tonzer, Lena - 2021
In Europe, the financial stability mandate generally rests at the national level. But there is an important exception. Since the establishment of the Banking Union in 2014, the European Central Bank (ECB) can impose stricter regulations than the national regulator. The precondition is that the...
Persistent link: https://www.econbiz.de/10013315459
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Bank regulation and stability: An examination of the Basel market risk framework
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - 2012
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10010308730
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Bank Regulation and Stability : An Examination of the Basel Market Risk Framework
Alexander, Gordon J. - 2016
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10012988825