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We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire...
Persistent link: https://www.econbiz.de/10012251307
Limited access to finance and its high cost have contributed to relatively low levels of private investment and subpar growth in the Kyrgyz Republic. Interest rate spreads have moderated in recent years, but remain high from both a regional and global perspective. At the same time, collateral...
Persistent link: https://www.econbiz.de/10012302053
banking sector into an otherwise standard macroeconomic structural vector autoregressive model. It shows that accounting for …
Persistent link: https://www.econbiz.de/10012251391
Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans' relative credit quality...
Persistent link: https://www.econbiz.de/10011715634
assistance on-and assessing compliance with-international standards in banking supervision …
Persistent link: https://www.econbiz.de/10012102040
We examine how bank competition in the run-up to the 2007-2009 crisis affects banks' systemic risk during the crisis. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15...
Persistent link: https://www.econbiz.de/10012102090
the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic … risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated … tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non …
Persistent link: https://www.econbiz.de/10012102210
Recent advances in digital technology and big data have allowed FinTech (financial technology) lending to emerge as a potentially promising solution to reduce the cost of credit and increase financial inclusion. However, machine learning (ML) methods that lie at the heart of FinTech credit have...
Persistent link: https://www.econbiz.de/10012021979
This paper offers novel evidence on the impact of raising bank capital requirements in the context of an emerging market: Peru. Using quarterly bank-level data and exploiting the adoption of bank-specific capital buffers, we find that higher capital requirements have a short-lived, negative...
Persistent link: https://www.econbiz.de/10011932245
Persistent link: https://www.econbiz.de/10010441706