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...

We analyse the relationship between tail risk and crisis measures by governments and the central bank. Using an adjusted Merton model in a game theoretical set-up, the analysis shows that the participation constraint for interventions by the central bank and the governments is less binding if...

The media influence our perception of reality and, since we act on those perceptions, reality is in turn affected by the media. News is a rich source of information, but, in addition, the sentiment (i.e., the tone of financial news) tells us how others perceive the financial system and how that...

We examine which variables are robust in explaining cross-country differences in the real impact of systemic banking crises. Based on a meta-analysis, we identify 21 variables frequently used as determinants of the severity of crises. Employing nine proxies for crisis severity, we find that...

This paper develops a theoretical model for "bazookas," a term coined by US Treasury Secretary Hank Paulson in 2008 and since applied to various large-scale public sector support programs for distressed borrowers. The intention behind such programs is to provide so much available financing...

We address the problem of regulating the size of banks’ macroprudential capital buffers by using market-based estimates of systemic risk combined with a structural framework for credit risk assessment. We develop a set of novel modeling mechanisms through which capital buffers can be allocated...

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk combined with a structural framework for credit risk assessment. We develop a set of novel modeling mechanisms through which capital buffers can be allocated...

Using data for more than 200 banks from 21 OECD countries for the period 2002 to 2008, we examine the impact of bank regulation and supervision on banking risk using quantile regressions. In contrast to most previous research, we find that banking regulation and supervision has an effect on the...

This paper documents how sovereign debt ratings shape euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in...

Securities Holdings Statistics (SHS), compiled by the European System of Central Banks (ESCB) have spurred research over the past decade. SHS provide high-quality security-by-security data on portfolios. SHS benefit from very high coverage across euro area investors, relying on harmonized...