This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of … increasing intensity, up to the point where regulatory norms are breached, or banks become insolvent. This approach offers useful …

staff collaborated to develop an experimental macro scenario stress testing approach to examine physical risks for banks by …, partly thanks to the strength of Philippines' banks and economy before the COVID crisis. However, more work is needed before … destructions and their macroeconomic-level transmissions to banks …

is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity … indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with … risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital …

We construct a country-level indicator capturing the extent to which aggregate bank credit growth originates from banks …

failing banks has beneficial long-run effects on the default risks of the financial and non-financial sectors. Our results … concur with the literature documenting how banks adjust their balance sheet composition and credit supply in reaction to …

central banks and the IMF. …

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of … stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and … European crises. This relationship is weaker in Europe where banks can use Basel II internal risk models. For large banks …

This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies … utilize high frequency financial data while the third uses bank balance sheet data to assess banks' bilateral exposures …, systemically vulnerable banks, and systemically risky banks. The analysis concludes that while Korean banks are interconnected …