Showing 1 - 10 of 110,985
later conferred on the ECB by the Single Supervisory Mechanism (SSM) Regulation. The paper describes the ECB …
Persistent link: https://www.econbiz.de/10012033308
Mechanism (SSM), with particular emphasis on the treatment of non-performing loans (NPLs). Its specific contribution to … financial macro-prudential oversight within European Systemic Risk Board (ESRB) is also highlighted …
Persistent link: https://www.econbiz.de/10012431530
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
We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into...
Persistent link: https://www.econbiz.de/10013055666
This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...
Persistent link: https://www.econbiz.de/10014530302
forthcoming challenges for the ESRB and macroprudential supervision at large. This SUERF Study forms the conference proceedings … on 8-9 November 2011. The purpose of this event was to take stock of first experiences with the ESRB; to discuss current … issues in the field of macroprudential supervision, including the integration of macro-financial elements into macroeconomic …
Persistent link: https://www.econbiz.de/10011711529
Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...
Persistent link: https://www.econbiz.de/10010413174
. 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/10011305260
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10012519357
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