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Contagion and fire sales in banking networks

Cecchetti, Sara; Rocco, Marco; Sigalotti, Laura - 2016

Persistent link: https://www.econbiz.de/10011945858

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - In: Journal of banking & finance 138 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013461958

A liquidity risk index as a regulatory tool for systemically important banks? : an empirical assessment across two financial crises

Gianfelice, Gianfranco; Marotta, Giuseppe; Torricelli, … - In: Applied economics 47 (2015) 1/3, pp. 129-147

Persistent link: https://www.econbiz.de/10010463946

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2016 - This version: 14 December 2016

Persistent link: https://www.econbiz.de/10011609975

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015

traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate …

Persistent link: https://www.econbiz.de/10012061674

Macroprudential stress test of the euro area banking system

Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019

This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...