Showing 1 - 10 of 500
Persistent link: https://www.econbiz.de/10010441730
This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies … the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and …-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross …
Persistent link: https://www.econbiz.de/10014396921
This paper looks at the vulnerabilities stemming from banking sector linkages between countries and their macroeconomic effects. It finds that credit risks (from a banking system’s claims on other countries) and funding risks (from a banking system’s liabilities to another) have declined...
Persistent link: https://www.econbiz.de/10014411464
Persistent link: https://www.econbiz.de/10009572425
includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from …
Persistent link: https://www.econbiz.de/10009424689
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bank may choose insufficient liquidity buffers and transparency. The regulatory response is constained: while liquidity … increase bank incentives to adopt transparency …
Persistent link: https://www.econbiz.de/10012670989
inform policy decisions. This paper proposes a simple measure of bank soundness, the Bank Health Index (BHI), to facilitate … for a first-pass identification of bank soundness conditions. Automated spreadsheet templates of the bank Health …
Persistent link: https://www.econbiz.de/10012667512
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012251907
The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market...
Persistent link: https://www.econbiz.de/10012154762