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CoMap : mapping contagion in the euro area banking sector
Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019
with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that …-linear function of the combination of network structures and bank-specific characteristics …
Persistent link: https://www.econbiz.de/10012102210
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Stress testing and calibration of macroprudential policy tools
Górnicka, Lucyna; Valderrama, Laura - 2020
conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …
Persistent link: https://www.econbiz.de/10012301885
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Sovereign risk in macroprudential solvency stress testing
Jobst, Andreas A.; Oura, Hiroko - 2019
affecting bank solvency during adverse macroeconomic conditions. This paper demonstrates the effectiveness of using extreme …
Persistent link: https://www.econbiz.de/10012154975
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Macroprudential stress tests : a reduced-form approach to quantifying systemic risk losses
Alla, Zineddine; Espinoza, Raphael A.; Li, Qiaoluan H.; … - 2018
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...
Persistent link: https://www.econbiz.de/10011932566
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Macroprudential Regulation Under Repo Funding
Valderrama, Laura - 2010
The use of collateral has become one of the most widespread risk mitigation techniques. While it brings stabilizing effects to the individual lender we argue that it may exacerbate systemic risk through margin call activation. We show how a liquidity shock to the cash lender may propagate as a...
Persistent link: https://www.econbiz.de/10014397334
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G-20 Data Gaps Initiative II : meeting the policy challenge
Heath, Robert; Goksu, Evrim Bese - 2016
Ministers and Central Bank Governors in September 2015. The DGI-2 recommendations maintain the continuity of DGI-1 but …
Persistent link: https://www.econbiz.de/10011445368
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Designing effective macroprudential stress tests : progress so far and the way forward
Demekas, Dimitri G. - 2015
, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should …
Persistent link: https://www.econbiz.de/10011374767
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Making banks safer : can Volcker and Vickers do it?
Chow, Julian T. S.; Surti, Jay - 2011
Persistent link: https://www.econbiz.de/10009422680
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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 … and growth-at-risk, more frequently than Article IV staff reports. We emphasize that a central bank FSR typically presents …
Persistent link: https://www.econbiz.de/10012605532
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Exchange rates and domestic credit : can macroprudential policy reduce the link?
Nier, Erlend Walter; Thorvardur Tjörvi Ólafsson; … - 2020
This paper examines empirically the role of macroprudential policy in addressing the effects of external shocks on financial stability. In a sample of 62 economies over the period of 2000: Q1-2016: Q4, our dynamic panel regressions show that an appreciation of the local exchange rate is...
Persistent link: https://www.econbiz.de/10012302058