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Robustness and informativeness of systemic risk measures

Löffler, Gunter; Raupach, Peter - 2013

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...

Persistent link: https://www.econbiz.de/10009720895

Banks of a feather : the informational advantage of being alike

Bednarek, Peter; Dinger, Valeriya; Schultz, Alison; … - 2023 - March 16, 2023

supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps …

Persistent link: https://www.econbiz.de/10014320321

Bank profitability, leverage constraints, and risk-taking

Martynova, Natalya; Ratnovski, Lev; Vlahu, Razvan - 2019

Traditional theory suggests that higher bank profitability (or franchise value) dissuades bank risk-taking. We … highlight an opposite effect: higher profitability loosens bank borrowing constraints. This enables profitable banks to take … risk on a larger scale, inducing risk-taking. This effect is more pronounced when bank leverage constraints are looser, or …

Persistent link: https://www.econbiz.de/10012020122

Does non-interest income make banks more risky? : retail- versus investment-oriented banks

Köhler, Matthias - 2013

In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the period between 2002 and 2010. Using linear and quantile regression estimators, we find that the impact of non-interest income on risk significantly differs depending on banks’...

Persistent link: https://www.econbiz.de/10009740269

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 default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

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

Doom loop, trilemma, and moral hazard : which narrative of the banking union did stock market investors buy?

Körner, Tobias; Papageorgiou, Michael - 2024

bank is, the higher are the abnormal returns, both in 'crisis countries' and 'non-crisis countries'. Moreover, abnormal … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …

Persistent link: https://www.econbiz.de/10015051532

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Bosma, Jakob; Koetter, Michael; Wedow, Michael - 2012

that failed during the 2007/2008 crisis. Excess equity returns in response to bank bailouts are overall negative and …

Persistent link: https://www.econbiz.de/10009566462

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...

Persistent link: https://www.econbiz.de/10012888139

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to...

Persistent link: https://www.econbiz.de/10014501102