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Estimating Spillover Risk Among Large EU Banks

Ong, Li L.; Cihák, Martin - International Monetary Fund (IMF) - 2007

prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally …

Persistent link: https://www.econbiz.de/10005263655

Crisis in Competitive Versus Monopolistic Banking Systems

Smith, Bruce D.; Nicoló, Gianni De; Boyd, John H. - International Monetary Fund (IMF) - 2003

risk-averse depositors. A "banking crisis" is defined as a case in which banks exhaust their reserve assets. Under … different model specifications, the banking industry is either a monopoly bank or a competitive banking industry. If the nominal … rate of interest (rate of inflation) is below (above) some threshold, a monopolistic banking system will always result in a …

Persistent link: https://www.econbiz.de/10005826156

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li L. - International Monetary Fund (IMF) - 2007

banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect …

Persistent link: https://www.econbiz.de/10005768965

Banking Crises and Crisis Dating; Theory and Evidence

Loukoianova, Elena; Nicoló, Gianni De; Boyd, John H. - International Monetary Fund (IMF) - 2009

Many empirical studies of banking crises have employed "banking crisis" (BC) indicators constructedusing primarily … information on government actions undertaken in response to bank distress. Weformulate a simple theoretical model of a banking …

Persistent link: https://www.econbiz.de/10008528706

Bank Risk-Taking and Competition Revisited; New Theory and New Evidence

Nicoló, Gianni De; Jalal, Abu M.; Boyd, John H. - International Monetary Fund (IMF) - 2006

This paper studies two new models in which banks face a non-trivial asset allocation decision. The first model (CVH) predicts a negative relationship between banks' risk of failure and concentration, indicating a trade-off between competition and stability. The second model (BDN) predicts a...

Persistent link: https://www.econbiz.de/10005605287

Into the Great Unknown; Stress Testing with Weak Data

Ong, Li L.; Maino, Rodolfo; Duma, Nombulelo - International Monetary Fund (IMF) - 2010

Stress testing has become the risk management tool du jour in the wake of the global financial crisis. In countries where the information reported by financial institutions is considered to be of sufficiently good quality, and supervisory and regulatory standards are high, stress tests can be of...

Persistent link: https://www.econbiz.de/10008777029

HEAT! A Bank Health Assessment Tool

Ong, Li L.; Jeasakul, Phakawa; Kwoh, Sarah - International Monetary Fund (IMF) - 2013

Developments during the global financial crisis have highlighted the importance of differentiating across financial systems and institutions. Assessments of financial stability have increasingly considered the characteristics of individual banks within a financial system, as well as those with...

Persistent link: https://www.econbiz.de/10011142011

Of Runes and Sagas; Perspectiveson Liquidity Stress Testing Using An Iceland Example

Cihák, Martin; Ong, Li L. - International Monetary Fund (IMF) - 2010

The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, where now-obvious vulnerabilities were left largely undetected, with stress tests...

Persistent link: https://www.econbiz.de/10008560436