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Transmission of Macro Shocks to Loan Losses in a Deep Crisis : The Case of Finland

Jokivuolle, Esa - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five' crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10013153601

Assessing the Risk of Banking Crises – Revisited

Borio, Claudio E. V. - 2013

Historically, unusually strong increases in credit and asset prices have tended to precede banking crises. Could the …

Persistent link: https://www.econbiz.de/10013095333

Banking euro area stress test model

Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020

The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It...

Persistent link: https://www.econbiz.de/10012286943

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...

Persistent link: https://www.econbiz.de/10012033284

Expected Loan Loss Provisions, Business- and Credit Cycles

Gruenberger, David - 2013

The recent global financial crisis has intensified calls to make the financial sector less crisis-prone, and to this end to make impairment recognition rules for debt instruments more forward looking. To better understand the behavior of different impairment rules and their potential effect on...

Persistent link: https://www.econbiz.de/10014162862

BEAST: a model for the assessment of system-wide risks and macroprudential policies

Budnik, Katarzyna; Groß, Johannes; Vagliano, Gianluca; … - 2023

The Banking Euro Area Stress Test (BEAST) is a large-scale semi-structural model developed to analyse the euro area banking system from a macroprudential perspective. The model combines the dynamics of approximately 90 of the largest euro area banks with those of individual euro area economies....

Persistent link: https://www.econbiz.de/10014477728

The dynamics of non-performing loans during banking crises : a new database

Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020

This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990 …. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close … relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning …

Persistent link: https://www.econbiz.de/10012206258

Modelling the distribution of credit losses with observable and latent factors

Jiménez, Gabriel; Mencía, Javier - In: Journal of empirical finance 16 (2009) 2, pp. 235-253

Persistent link: https://www.econbiz.de/10003839314

Stress Testing Credit Risk : A Survey of Authorities' Approaches

Foglia, Antonella - 2009

This paper reviews the quantitative methods used at selected central banks to stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank specific measures of credit risk (macro stress test). Stress testing credit risk is an essential...

Persistent link: https://www.econbiz.de/10013160243

Banking Euro Area Stress Test Model

Budnik, Katarzyna Barbara - 2020

Persistent link: https://www.econbiz.de/10012822724

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