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We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...
Persistent link: https://www.econbiz.de/10013356490
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system, cause side effects and interplay with other measures. In this paper...
Persistent link: https://www.econbiz.de/10013370091
The reform of LIBOR by its administrator IBA to a transaction-based benchmark, completed 2019, has not succeeded due to lack of transactions. In July 2017 the UK FCA Chief Bailey prepared the market for the end of LIBOR by end-2021. National working groups have developed alternatives to LIBOR...
Persistent link: https://www.econbiz.de/10013439921
We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the...
Persistent link: https://www.econbiz.de/10013549648
This paper investigates the impact of the capital relief package adopted to support euro area banks at the outbreak of the COVID-19 pandemic. By leveraging confidential supervisory and credit register data, we uncover two main findings. First, capital relief measures support banks' capacity to...
Persistent link: https://www.econbiz.de/10014278144
One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...
Persistent link: https://www.econbiz.de/10014278526
We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...
Persistent link: https://www.econbiz.de/10014321775
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...
Persistent link: https://www.econbiz.de/10014321802
Between 2016 and 2022, life insurers in several European countries experienced negative longterm interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To...
Persistent link: https://www.econbiz.de/10014431714
We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...
Persistent link: https://www.econbiz.de/10014480537