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In Defense of Early Warning Signals.
Bussière, M. - Banque de France - 2013
The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...
Persistent link: https://www.econbiz.de/10010815949
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Leading Indicators of Currency Crises in Emerging Economies.
Burkart, O.; Coudert, V. - Banque de France - 2000
This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.
Persistent link: https://www.econbiz.de/10005036195
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Cross-border interbank contagion in the European banking sector.
Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015
This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …
Persistent link: https://www.econbiz.de/10011212945
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Pricing Default Events: Surprise, Exogeneity and Contagion.
Gouriéroux, C.; Monfort, A.; Renne, J-P. - Banque de France - 2013
In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...
Persistent link: https://www.econbiz.de/10010815976
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Bilateral Exposures and Systemic Solvency Risk.
Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012
consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …
Persistent link: https://www.econbiz.de/10010815986
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Regime Switching and Bond Pricing.
Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013
incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …
Persistent link: https://www.econbiz.de/10010816014
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Monitoring the European CDS Market through Networks: Implications for Contagion Risks.
Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014
spreaders” of financial contagion, identified as the most interconnected participants, consist mostly of banks. For some of them …
Persistent link: https://www.econbiz.de/10010753778
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Bank incentives and optimal CDOs
Pagès, H. - Banque de France - 2009
displaying “contagion.” Moral hazard prevents the bank from monitoring continuously unless it is compensated with the right …
Persistent link: https://www.econbiz.de/10008531418
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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 point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...
Persistent link: https://www.econbiz.de/10010631356
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Is there Evidence of Shift-Contagion in International Housing Markets?
de Bandt, O.; Malik, S. - Banque de France - 2010
The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …
Persistent link: https://www.econbiz.de/10008682873