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The risk management approach to macro-prudential policy
Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; … - 2021
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off...
Persistent link: https://www.econbiz.de/10012547546
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Stress testing with multiple scenarios : a tale on tails and reverse stress scenarios
Aikman, David; Angotti, Romain; Budnik, Katarzyna - 2024
This paper proposes an operational approach to stress testing, allowing one to assess the banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach helps identify macro-financial risk factors of particular relevance for the banking system and individual banks...
Persistent link: https://www.econbiz.de/10014558792
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Using machine learning to measure financial risk in China
Al-Haschimi, Alexander; Apostolou, Apostolos; … - 2023
We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we employ topical modelling based on an unsupervised...
Persistent link: https://www.econbiz.de/10013492909
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Do stress tests matter? : evidence from the 2014 and 2016 stress tests
Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017
results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker …
Persistent link: https://www.econbiz.de/10011648333
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Stress tests and capital requirement disclosures : do they impact banks' lending and risk-taking decisions?
Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022
How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their corresponding risk-taking, the ensuing effect on their...
Persistent link: https://www.econbiz.de/10013277156
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Does IFRS 9 increase banks' resilience?
Kund, Arndt-Gerrit; Rugilo, Daniel - 2023
analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … bank resilience through lower capital levels. In the absence of archival data of IFRS 9 and their potential biases due to … the COVID-19 pandemic, we use the European bank stress test results as a natural experiment, in which all banks are …
Persistent link: https://www.econbiz.de/10014230334
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Hałaj, Grzegorz - 2023
run simulations of bank valuations and asset prices under a set of stress scenarios. …
Persistent link: https://www.econbiz.de/10014278677
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …
Persistent link: https://www.econbiz.de/10011975602
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Who bears interest rate risk?
Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018
We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...
Persistent link: https://www.econbiz.de/10011901434
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The central bank as a risk manager : quantifying and forecasting inflation risks
Kilian, Lutz (contributor); Manganelli, Simone (contributor) - 2003
Persistent link: https://www.econbiz.de/10001762889