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What can we learn from financial stability reports?

Comelli, Fabio; Ogawa, Sumiko - 2021

This paper reviews the approaches to systemic risk analysis in 32 central bank financial stability reports (FSRs). We compare and contrast the systemic risk analysis in FSRs with the IMF Article IV staff reports, noting that Article IV staff reports and FSRs frequently pick up analytical content...

Persistent link: https://www.econbiz.de/10012605532

Cyber risk surveillance : a case study of Singapore

Goh, Joseph; Kang, Heedon; Koh, Zhi Xing; Lim, Jin Way; … - 2020

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It is therefore important to integrate it into financial sector surveillance. This paper offers a range of analytical approaches to assess and monitor cyber risk to the financial...

Persistent link: https://www.econbiz.de/10012170162

CoMap : mapping contagion in the euro area banking sector

Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019

This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within 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...

Persistent link: https://www.econbiz.de/10012102210

Stress testing and calibration of macroprudential policy tools

Górnicka, Lucyna; Valderrama, Laura - 2020

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools....

Persistent link: https://www.econbiz.de/10012301885

Sovereign risk in macroprudential solvency stress testing

Jobst, Andreas A.; Oura, Hiroko - 2019

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock...

Persistent link: https://www.econbiz.de/10012154975

South Africa : the financial sector-sovereign nexus

Hesse, Heiko; Miyajima, Ken - 2022

Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the ongoing COVID-19 pandemic. In South Africa, the...

Persistent link: https://www.econbiz.de/10013170007

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10014396509

When banks punch back : macrofinancial feedback loops in stress tests

Catalán, Mario; Hoffmaister, Alexander W. - 2020

In the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to contract their balance sheets. These bank responses generate externalities that propagate in the form of macro-financial feedback loops. This paper develops a credit response and...

Persistent link: https://www.econbiz.de/10012251391

The taxation and regulation of banks

Keen, Michael - 2011

Persistent link: https://www.econbiz.de/10009423215

Sever, Can; Perez-Archila, Manuel - 2021

Colombia. We explore risks imposed on the banking system based on scenarios of an increase in the domestic carbon tax by using … observe that sectors are affected unevenly by a higher carbon tax. Agriculture, manufacturing, electricity, wholesale and … system. Results also suggest that a large increase in the carbon tax can generate significant but likely manageable financial …

Persistent link: https://www.econbiz.de/10012796249

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