Showing 1 - 6 of 6
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10012519357
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10012384482
We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a...
Persistent link: https://www.econbiz.de/10011636947
This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three...
Persistent link: https://www.econbiz.de/10011637357
Should monetary policy lean against financial stability risks? This has been a subject of fierce debate over the last decades. We contribute to the debate about "leaning against the wind" (LAW) along three lines. First, we evaluate the cost and benefits of LAW using the Svensson (2017) framework...
Persistent link: https://www.econbiz.de/10011959286
Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...
Persistent link: https://www.econbiz.de/10011648333