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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

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/10013373564

Internationalization, Foreign Complexity and Systemic Risk : Evidence from European Banks

Bakkar, Yassine - 2020

Using a novel cross-European dataset on bank internationalization, the paper accounts for both organizational and geographic complexity and evaluates its impact on systemic risk and how both the 2008–09 global financial crisis and the 2010–11 European sovereign debt crisis might have...

Persistent link: https://www.econbiz.de/10012852995

Asset Commonality, Debt Maturity and Systemic Risk

Allen, Franklin - 2014

We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks hold common asset portfolios and default together....

Persistent link: https://www.econbiz.de/10013067181

Determinants of Systemically Important Banks : The Case of Europe

Kleinow, Jacob - 2015

We investigate the drivers of systemic risk and contagion among European banks from 2007 to 2012. First, we derive a systemic risk measure from the concepts of MES and CoVaR analysing tail co-movements of daily bank stock returns. We then run panel regressions for our systemic risk measure using...

Persistent link: https://www.econbiz.de/10013031699

Banks of a feather : the informational advantage of being alike

Bednarek, Peter; Dinger, Valeriya; Schultz, Alison; … - 2023 - March 16, 2023

Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank...

Persistent link: https://www.econbiz.de/10014320321

Systemic Risk Spillovers Between Stock Returns of the Banking and Financial Sectors : Evidence from Developed and Emerging Europe

Hanif, Waqas; Mensi, Walid; Arreola Hernández, José; … - 2023

returns of banking and financial sectors in the context of both developed and emerging Europe. Our methodology involves … portfolios, which comprises banks. Notably, the Commerz bank and BNP Paribas, both from developed Europe, demonstrated the most … substantial upside spillover effects. As for emerging Europe, the Greek banks and the Sber bank had the most significant downside …

Persistent link: https://www.econbiz.de/10014358307

Systemic Risk and Foreign Currency Positions of Banks : Evidence from Emerging Europe

Andries, Alin Marius - 2018

and Eastern Europe with large share of FX exposures in balance sheet. Empirical findings indicate that systemic risk is …

Persistent link: https://www.econbiz.de/10012934994

Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?

Santos, André Oliveira - 2019

This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

Persistent link: https://www.econbiz.de/10012868458

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010202672

Uniqueness of equilibrium in a payment system with liquidation costs

Amini, Hamed; Filipović, Damir; Minca, Andreea - 2015 - This version: October 22, 2015

We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds under mild and natural assumptions on...

Persistent link: https://www.econbiz.de/10011410730