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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

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

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

Systemic risk rankings and network centrality in the European banking sector

De Bruyckere, Valerie - 2015

Persistent link: https://www.econbiz.de/10011349809

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

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...