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Banking crises and recessions: what can leading indicators tell us?

Corder, Matthew; Weale, Martin - Monetary Policy Committee (MPC), Bank of England - 2011

is evidence for interdependency between recessions and banking crises using both non-parametric tests and unconditional …It is widely suggested that there is some relationship between banking crises and recessions. We assess whether there … predict banking crises and recessions and if these variables can explain the previously obvserved interdependence. Inclusion …

Persistent link: https://www.econbiz.de/10009318978

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014

which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …

Persistent link: https://www.econbiz.de/10010948836

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Hong Kong Institute for Monetary Research (HKIMR), … - 2014

which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …

Persistent link: https://www.econbiz.de/10010929639

The great mortgaging: housing finance, crises, and business cycles

Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Federal Reserve Bank of San Francisco - 2014

which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …

Persistent link: https://www.econbiz.de/10011026939

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …

Persistent link: https://www.econbiz.de/10011083232

Credit risk model for the Estonian banking sector

Kattai, Rasmus - Eesti Pank - 2010

This paper gives an overview of the credit risk model that has been developed for the Estonian banking system. The non-performing loans and loan loss provisions of the four largest banks and the rest of the banking sector have been modelled conditional on the underlying economic conditions:...

Persistent link: https://www.econbiz.de/10008540500

Interaction between market and credit risk: Focus on the endogeneity of aggregate risk

Sokolov, Yuri - Volkswirtschaftliche Fakultät, … - 2009

As shown in the recent BCBS papers market and credit risks could reinforce each other in certain circumstances, meaning the sum of the parts might be less than an estimate of risk that takes into account the interactions between the two. Market risk factors have an ambiguous impact on the firms'...

Persistent link: https://www.econbiz.de/10008549606

Assessing the risk of banking crises - revisited

Borio, Claudio; Drehmann, Mathias - In: BIS Quarterly Review (2009) March

Historically, unusually strong increases in credit and asset prices have tended to precede banking crises. Could the …

Persistent link: https://www.econbiz.de/10005187727

Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System

Girault, Gutierrez; Alfredo, Matias - Volkswirtschaftliche Fakultät, … - 2008

While not being widespread, stress tests of credit risk are not new in the Argentine financial system, neither for financial intermediaries nor for the Central Bank. However, they are more often based on rule-of-thumb approaches than on systematic, model based methodologies. The objective of...

Persistent link: https://www.econbiz.de/10005061660

Stress-testing financial systems: an overview of current methodologies

Sorge, Marco - Bank for International Settlements (BIS) - 2004

This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial progress has been made both in the econometric analysis of financial soundness indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. However, a number of...

Persistent link: https://www.econbiz.de/10005063356