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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of …
Persistent link: https://www.econbiz.de/10011520642
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Banks' strategic interaction, adverse price dynamics and systemic liquidity risk
Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022
In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …
Persistent link: https://www.econbiz.de/10012888139
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Financial fragility in open-ended mutual funds : the role of liquidity management tools
Dunne, Peter G.; Emter, Lorenz; Fecht, Falko; Giuliana, … - 2024
We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the …
Persistent link: https://www.econbiz.de/10015055847
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Optimal liquidity control and systemic risk in an interbank network with liquidity shocks and regime-dependent interconnectedness
Chotipong Charoensom; Thaisiri Watewai - 2022
Persistent link: https://www.econbiz.de/10013259623
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Interbank risk assessment : a simulation approach
Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge; Ossandon Busch, Matias - 2021
We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …
Persistent link: https://www.econbiz.de/10012516271
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Capital regulation, liquidity requirements and taxation in a dynamic model of banking
De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012
liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find … benefits turning into costs beyond a certain threshold. By contrast, liquidity requirements reduce lending, efficiency and …
Persistent link: https://www.econbiz.de/10009528883
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Bank capital buffers in a dynamic model
Mankart, Jochen; Michaelides, Alexander G.; Pagratis, Spyros - 2019
We estimate a dynamic structural banking model to examine the interaction between risk-weighted capital adequacy and unweighted leverage requirements, their differential impact on bank lending, and equity buffer accumulation in excess of regulatory minima. Tighter risk-weighted capital...
Persistent link: https://www.econbiz.de/10011955629
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The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...
Persistent link: https://www.econbiz.de/10012222608