Contrary to the findings reported in some of the extant literature, our study indicates that over the past few years a change in investors’ behavior patterns means that investment decisions are made at short notice, and that shares are redeemed in a discriminatory manner when funds perform...

We investigate whether financial markets reacted to the regulatory changes implied by the publication of the list of systemically important financial institutions (SIFI) and the new rules designed to address the too-big-to-fail problem of systemic banks. By applying event study methodology to a...

This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the...

In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based...

We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising the...

In the light of the recent financial market turmoil, this paper focuses on liquidity risk management from the point of view of both supervisory authorities and large financial institutions. This research aims at pointing out the main differences between national regulations and supervisory...

Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The standard argument - that banks can - hinges on deposit inflows that are seeking a safe haven and provide banks with a natural hedge to fund drawn credit lines and other commitments....

The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective towards financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by...

In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from...

We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) of U.S. commercial banks using Call Report data over the period 2001–2011, and provide indirect empirical evidence on net cash outflow rates of certain...