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Systemic Risk Rankings and Network Centrality in the European Banking Sector
Bruyckere, Valerie De - 2015
This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The proposed model makes use of the network structure of financial institutions by including the stock return series of all...
Persistent link: https://www.econbiz.de/10013014960
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Cyclical Systemic Risk and Downside Risks to Bank Profitability
Lang, Jan Hannes - 2020
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
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012838336
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10012953806
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Bank Capital in the Short and in the Long Run
Mendicino, Caterina - 2019
strength of monetary policy accommodation and the degree of bank riskiness are key determinants of the trade-off between the …
Persistent link: https://www.econbiz.de/10012869621
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Competition and Bank Risk : The Effect of Securitization and Bank Capital
Marques-Ibanez, David - 2014
the effect of competition on realised bank risk (i.e. more intense competition and greater use of securitisation is …
Persistent link: https://www.econbiz.de/10013054085
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Does a Leverage Ratio Requirement Increase Bank Stability?
Kiema, Ilkka - 2014
the LRR is no longer the binding capital constraint on them. If the LRR is lower than the average bank's IRB requirement …
Persistent link: https://www.econbiz.de/10013054089
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Rational Blinders : Strategic Selection of Risk Models and Bank Capital Regulation
Colliard, Jean-Edouard - 2014
The regulatory use of banks' internal models aims at making capital requirements more accurate and reducing regulatory arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem include the use of risk-weight floors and...
Persistent link: https://www.econbiz.de/10013059120
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How Do Banking Groups React to Macroprudential Policies? Cross-Border Spillover Effects of Higher Capital Buffers on Lending, Risk-Taking and Internal Markets
Cappelletti, Giuseppe; Ponte Marques, Aurea; Salleo, Carmelo - 2021
We study the impact of macroprudential capital buffers on banking groups' lending and risk-taking decisions, also investigating implications for internal capital markets. For identification, we exploit heterogeneity in buffers applied to other systemically important institutions, using...
Persistent link: https://www.econbiz.de/10013210623
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Banks' Risk-Taking within a Banking Union
Farnè, Matteo; Vouldis, Angelos - 2021
We study the relationship between banks’ size and risk-taking in the context of supranational banking supervision. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives underpinned by the too-big-to-fail effect, we find an inverse relationship...
Persistent link: https://www.econbiz.de/10013210707