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Risk aversion and Uncertainty in European Sovereign Bond Markets

Fourel, V.; Idier, J. - Banque de France - 2011

examine the impact of the European Central Bank Securities Markets Programme [SMP] implemented in May 2010 and re- activated …

Persistent link: https://www.econbiz.de/10009358989

How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment

Idier, J.; Lamé, G.; Mésonnier, J S. - Banque de France - 2011

of the MES on bank characteristics, we first find that the MES can be roughly rationalized in terms of standard balance … sheet indicators of bank financial soundness and systemic importance. We then ask whether the cross section of the MES can …

Persistent link: https://www.econbiz.de/10009358990

Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.

Dumontaux, N.; Pop, A. - Banque de France - 2013

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning … limited to the largest financial firms; (ii) the most affected institutions were the surviving “non-bank” financial services …

Persistent link: https://www.econbiz.de/10010631356

Domino Effects when Banks Hoard Liquidity: The French network.

Fourel, V.; Héam, J-C.; Salakhova, D.; Tavolaro, S. - Banque de France - 2013

We investigate the consequences of banks' liquidity hoarding behaviour for the stability of the financial system by proposing a new model of banking contagion through two channels, bilateral exposures and funding shortage. Inspired by the key role of liquidity hoarding in the 2007-2009 financial...

Persistent link: https://www.econbiz.de/10010699072