Showing 1 - 10 of 638
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …
Persistent link: https://www.econbiz.de/10012930608
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active …
Persistent link: https://www.econbiz.de/10013243812
result in systemic risk, increasing uncertainty about the quality of banks' assets and undermining trust in the banking …
Persistent link: https://www.econbiz.de/10013009659
corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …
Persistent link: https://www.econbiz.de/10013404671
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …
Persistent link: https://www.econbiz.de/10012953806
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …
Persistent link: https://www.econbiz.de/10011605087
at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in … risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation …
Persistent link: https://www.econbiz.de/10014352662
. We estimate a simple version of the model using market equity returns data to analyse spillovers in the values at risk … absorbed by the system. We show how the long-run risk of the largest and most leveraged financial institutions is very …
Persistent link: https://www.econbiz.de/10013020592
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013491644