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Macroprudential Regulation: A Risk Management Approach

van Wijnbergen, Sweder; Dimitrov, Daniël - 2023

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...

Persistent link: https://www.econbiz.de/10014321775

Regulation of Road Accident Externalities When Insurance Companies Have Market Power

Dementieva, Maria - 2013

Accident externalities are among the most important external costs of road transport. We study the regulation of these …

Persistent link: https://www.econbiz.de/10013088366

Ranking Systemically Important Financial Institutions

Dungey, Mardi; Luciani, Matteo; Veredas, David - 2012

We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...

Persistent link: https://www.econbiz.de/10010326485

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector

Dimitrov, Daniel; van Wijnbergen, Sweder - 2022

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

Persistent link: https://www.econbiz.de/10013356490

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector

Dimitrov, Daniel; van Wijnbergen, Sweder - 2023

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

Persistent link: https://www.econbiz.de/10014321802

Insurance Sector Risk

Slijkerman, Jan Frederik - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10010325267

Insurance Sector Risk

Slijkerman, Jan Frederik - 2006

Persistent link: https://www.econbiz.de/10012733244

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …

Persistent link: https://www.econbiz.de/10010326212

Banking Unions: Distorted Incentives and Efficient Bank Resolution

Zoican, Marius A.; Górnicka, Lucyna A. - 2013

more often, distorting risk incentives of banks. For low bank liquidation costs, the net welfare effect of a banking union …

Persistent link: https://www.econbiz.de/10010328322

Health, Financial Incentives and Retirement in Spain

Erdogan-Ciftci, Esen; van Doorslaer, Eddy; Lopez … - 2008

We estimate the impact of health and financial incentives on the retirement transitions of older workers in Spain … retirement. Unlike previous literature, we find that (i) financial incentives, when measured adequately, exert a greater impact … in determining retirement decisions. We also perform simulations of a recently enacted reform of pension incentives and …

Persistent link: https://www.econbiz.de/10014214193

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