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A new heuristic measure of fragility and tail risks : application to stress testing
Taleb, Nassim Nicholas; Canetti, Elie; Kinda, Tidiane; … - 2012
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …
Persistent link: https://www.econbiz.de/10009621630
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How to capture macro-financial spillover effects in stress tests?
Hesse, Heiko; Salman, Ferhan; Schmieder, Christian - 2014
Persistent link: https://www.econbiz.de/10010388854
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Banking across borders : are Chinese banks different?
Cerutti, Eugenio M.; Koch, Cathérine; Pradhan, Swapan-Kumar - 2020
We explore the global footprint of Chinese banks and compare it with that of other bank nationalities. Chinese banks … across all bank nationalities, we find that larger distances deter cross-border bank lending to EMDEs more than to AEs. For …
Persistent link: https://www.econbiz.de/10012392600
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Cross-border banking and the circumvention of macroprudential and capital control measures
Cerutti, Eugenio M.; Zhou, Haonan - 2018
We analyze the joint impact of macroprudential and capital control measures on cross-border banking flows, while controlling for multidimensional aspects in lender-and-borrower-relationships (e.g., distance, cultural proximity, microprudential regulations). We uncover interesting spillover...
Persistent link: https://www.econbiz.de/10011932242
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The global banking network in the aftermath of the crisis : is there evidence of de-globalization?
Cerutti, Eugenio M.; Zhou, Haonan - 2017
Post-crisis dynamics show a shrinkage in the overall amount of crossborder bank lending, which has been interpreted in … regionalization of lending flows, the different evolution of linkages through bank affiliates and direct cross-border claims, as well …
Persistent link: https://www.econbiz.de/10011763525
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How to Capture Macro-Financial Spillover Effects in Stress Tests?
Hesse, Heiko - 2014
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with … capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in …
Persistent link: https://www.econbiz.de/10014411388
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A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs
Jobst, Andreas A. - 2013
The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead …
Persistent link: https://www.econbiz.de/10014395327