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Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses
Alla, Zineddine - 2018
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...
Persistent link: https://www.econbiz.de/10012907939
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Are Islamic Banks More Resilient During Financial Panics?
Farooq, Moazzam - 2015
. Our results show that Islamic bank branches are less prone to deposit withdrawals during financial panics, both … unconditionally and after controlling for bank characteristics. The Islamic branches of banks that have both Islamic and conventional … that Islamic bank branches grant more loans during financial panics and that their lending decisions are less sensitive to …
Persistent link: https://www.econbiz.de/10013025501
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Central Banks as Dollar Lenders of Last Resort : Implications for Regulation and Reserve Holdings
Das, Mitali; Gopinath, Gita; Kim, Taehoon; Stein, Jeremy C. - 2023
countries, central bank holdings of dollar reserves are significantly correlated with the dollar-denominated bank borrowing of … model in which the central bank can deal with private-sector mismatch, and the associated risk of a domestic financial … crisis, in two ways: (i) by imposing ex ante financial regulations such as bank capital requirements; or (ii) by building a …
Persistent link: https://www.econbiz.de/10014257932
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The Dynamics of Non-Performing Loans During Banking Crises : A New Database
Ari, Anil - 2020
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved...
Persistent link: https://www.econbiz.de/10012843502
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Crisis and Reform : The 1893 Demise of Banca Romana
Pani, Marco - 2018
imbalances. A system of corruption and collusion with politicians and journalists enabled the bank managers to run risky and …
Persistent link: https://www.econbiz.de/10012929936
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A National Wealth Approach to Banking Crises and Financial Stability
Frecaut, Olivier - 2016
The paper explores a different, supplementary way to assess and manage a particular type of banking crises, those arising from a rise of nonperforming loans to the corporate sector. It relies on a 'national wealth approach,' focusing on the distribution of net wealth among economic sectors and...
Persistent link: https://www.econbiz.de/10012977848
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Monitoring Systemic Risk Based on Dynamic Thresholds
Lund-Jensen, Kasper - 2012
Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper,systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect...
Persistent link: https://www.econbiz.de/10013102200
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Financial Soundness Indicators and Banking Crises
Costa Navajas, Matias - 2014
The paper tests the effectiveness of financial soundness indicators (FSIs) as harbingers of banking crises, using multivariate logit models to see whether FSIs, broad macroeconomic indicators, and institutional indicators can indeed predict crisis occurrences. The analysis draws upon a data set...
Persistent link: https://www.econbiz.de/10013061184
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Does Deposit Insurance Increase Banking System Stability?
Demirgüç-Kunt, Asli; Detragiache, Enrica - 2021
be detrimental to bank stability, the more so where bank interest rates are deregulated and the institutional environment … is weak. Also, the adverse impact of deposit insurance on bank stability tends to be stronger when the coverage offered …
Persistent link: https://www.econbiz.de/10013317984
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Can Financial Soundness Indicators Help Predict Financial Sector Distress?
Pietrzak, Marcin - 2022
This paper shows how the role of Financial Soundness Indicators (FSIs) in financial surveillance can be usefully enhanced. Drawing from different statistical techniques, the paper illustrates that FSIs generate signals that can accurately detect, with 4 to 12 quarters lead, emerging financial...
Persistent link: https://www.econbiz.de/10013306766