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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
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Fire-sale spillovers and systemic risk
Duarte, Fernando; Eisenbach, Thomas M. - 2013
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10010202672
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Transatlantic systemic risk
Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013
In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...
Persistent link: https://www.econbiz.de/10009784871
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The Impact of Bank Herding on Systemic Risk
Heo, Yuna - 2019
We find that the level of bank herding in real estate loans during boom period is substantially higher than the level of bank herding in commercial and industrial loans or consumer loans. More importantly, we find that bank herding significantly increases systemic risk. In particular, herding in...
Persistent link: https://www.econbiz.de/10012889250
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Enhancing Bank Supervision in Asia : Lessons Learned from the Financial Crisis
Zamorski, Michael Joseph - 2015
. Assessments of the global financial crisis invariably point to ineffective finance regulation and supervision as the main reasons … outbreak. The crisis reflected the failure of regulatory authorities to keep pace with financial innovation. Bank supervision … depth. They did not properly implement risk-based supervision, and they failed to identify shortcomings in banks' risk …
Persistent link: https://www.econbiz.de/10013009689
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Capital Adequacy Pre- and Post-Crisis and the Role of Stress Testing
Schuermann, Til - 2019
The financial crisis forced the development of new approaches for determining capital adequacy in banks since extant methods clearly did not prepare banks nor their supervisors sufficiently. The success of stress testing as a crisis response tool, particularly in the US in 2009, has led to its...
Persistent link: https://www.econbiz.de/10012858149
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The Mortgage and Financial Crises : The Role of Credit Risk Management and Corporate Governance
Jagtiani, Julapa - 2010
This paper discusses the role of risk management and corporate governance as causal factors in the onset of the financial crisis. The downturn in the housing and mortgage markets precipitated the first phase of the financial crisis in August 2007 when the solvency of a number of large financial...
Persistent link: https://www.econbiz.de/10013145259
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Ongena, Steven - 2019
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012064522
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Systemically important banks : emerging risk and policy responses : an agent-based investigation
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2023
We develop a macroeconomic agent-based model to study the role of systemically important banks (SIBs) in financial stability and the effectiveness of capital surcharges on SIBs as a risk management tool. The model is populated by heterogeneous firms, consumers, and banks interacting locally in...
Persistent link: https://www.econbiz.de/10014332099