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Firm-specific shocks and contagion : are banks special?
Engljähringer, Hannah Katharina; Stracca, Livio - 2020
is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …
Persistent link: https://www.econbiz.de/10012299006
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Interconnected banks and systemically important exposures
Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019
supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of …
Persistent link: https://www.econbiz.de/10012132464
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Cyclical systemic risk and downside risks to bank profitability
Lang, Jan Hannes; Forletta, Marco - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012216407
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CoMap: mapping contagion in the euro area banking sector
Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019
contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics. …
Persistent link: https://www.econbiz.de/10011959290
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Systemic risk rankings and network centrality in the European banking sector
De Bruyckere, Valerie - 2015
Persistent link: https://www.econbiz.de/10011349809
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Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments
Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …
Persistent link: https://www.econbiz.de/10012024808
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Estimating systemic risk for non-listed euro-area banks
Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023
The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...
Persistent link: https://www.econbiz.de/10014477734
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Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2019
how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio …
Persistent link: https://www.econbiz.de/10012061145
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Agent-based model of system-wide implications of funding risk
Hałaj, Grzegorz - 2018
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based...
Persistent link: https://www.econbiz.de/10011779837
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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