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Divergence of Risk Indicators and the Conditions for Market Discipline in Banking
Forssbæck, Jens - 2011
Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current …
Persistent link: https://www.econbiz.de/10011689950
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - 2012
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10010311789
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The great liquidity freeze: What does it mean for international banking?
Domanski, Dietrich; Turner, Philip - 2011
In mid-September 2008, following the bankruptcy of Lehman Brothers, international interbank markets froze and interbank lending beyond very short maturities virtually evaporated. Despite massive central bank support operations and purchases of key assets, many financial markets remained impaired...
Persistent link: https://www.econbiz.de/10010279794
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
-Albert (scale-free) with Watts-Strogatz (small-world) and random networks. A network model of banks, a firm- and household-sector as … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when … the central bank is not active in which case small-world networks are less stable than scale-free and random networks. It …
Persistent link: https://www.econbiz.de/10010334482
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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-17, pp. 1-39
In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...
Persistent link: https://www.econbiz.de/10010312011
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2011
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents - domestic...
Persistent link: https://www.econbiz.de/10010281490
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Systemic risk in a network model of interbank markets with central bank activity
Georg, Co-Pierre; Poschmann, Jenny - 2010
The breakdown of the interbank money markets in the face of the recent financial crisis has forced central banks and governments to take extraordinary measures to sustain financial stability. In this paper we investigate which influence central bank activity has on interbank markets. In our...
Persistent link: https://www.econbiz.de/10010269747
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Contagion effects of the Silicon Valley Bank run
Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023
This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank...
Persistent link: https://www.econbiz.de/10014540982
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Regulation of Systemic Liquidity Risk
Cao, Jin; Illing, Gerhard - 2010
The paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long term projects. In the prevailing mixed strategy equilibrium the allocation is inferior from the investor’s point of view...
Persistent link: https://www.econbiz.de/10010427588
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Organizational form as a source of systemic risk
Bholat, David; Gray, Joann - 2012
Systemic risk now occupies centre stage in discussions of bank regulatory reform. Systemic risk is often seen as a problem of size, operational complexity, interconnectivity and contagion. It is less often discussed in terms of the institutional framework of legal rules and principles within...
Persistent link: https://www.econbiz.de/10010309818