This paper explores a potential application of the empirical growth-at-risk (GaR) approach to the assessment and design of macroprudential policies. In parallel to the concept of value-at-risk, the GaR of an economy over a given horizon is a low quantile of the distribution of the (projected)...

In October 2017, the European Systemic Risk Board (ESRB) set up a group whose objective was to examine cyber security vulnerabilities within the financial sector, and their potential impact on financial stability and the real economy. In its first year, the European Systemic Cyber Group (ESCG)...

Financial institutions are connected to each other by a series of bilateral transactions. In normal times, institutions' connections may result in efficient risk transfer. But in crises, connections can facilitate contagion - as initial problems lead to chains of defaults and liquidity shortages...

This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to...

This research explores two aspects of European insurers' investment behaviour related to crises. While they are often considered as financial market stabilisers and long-term investors, there is currently a lack of knowledge about insurers' investment behaviour in crises under the regulatory...

We set out a stylised framework for the policies enacted to address the risks posed by systemically important institutions (SIIs) and to counter the too-big-to-fail (TBTF) problem, examining conceptually how far supervisory and resolution policies are complementary or substitutable. The...

We present a methodology based on quarterly sectoral accounts to build a map of the euro area financial system. The map can be used to visualise existing cross-sectoral interconnections and exposures, to analyse how the main bilateral positions have evolved over time, and to understand how past...

Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....

This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual measures and discusses different aspects that...