College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform … regulation, recovery and resolution, and risk culture. …

This paper provides empirical evidence of behavioural responses by banks and their contribution to system …-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures … increasingly dependent across banks and concentrated on certain market segments. Banks' reactions were shaped by decreased risk …

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main …, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is … probability of a liquidity shortfall. An application to Dutch banks illustrates that the second round effects have more impact …

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform … regulation, recovery and resolution, and risk culture. …

The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …

The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …