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Effectiveness of policy and regulation in European sovereign credit risk markets : a network analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2019

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

Persistent link: https://www.econbiz.de/10011958261

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis

Banerjee, Anurag Narayan - 2016

In this paper we assess the effectiveness of large scale bailouts aiming at preventing a financial crisis from further propagating into a systemic risk. We examine the structural changes in the relationship between the sovereign and financial institutions' credit default swap spreads during the...

Persistent link: https://www.econbiz.de/10013002499

Effectiveness of policy and regulation in European sovereign credit risk markets : a network analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2019

Persistent link: https://www.econbiz.de/10011992508

The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations

Coppens, François - 2010

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor's and Moody's publicly available rating histories to...

Persistent link: https://www.econbiz.de/10013137459

Effectiveness of Policy and Regulation in European Sovereign Credit Risk Markets : A Network Analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2021

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a...

Persistent link: https://www.econbiz.de/10013315062

Economic policy uncertainty, bank nonperforming loans and loan loss provisions : are they correlated?

Ozili, Peterson K. - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 221-235

Purpose - This paper examines the correlation of economic policy uncertainty (EPU) with nonperforming loans and loan … the Pearson correlation methodology to assess the correlation between EPU, bank nonperforming loans and loan loss … correlation of EPU with loan loss provisions and nonperforming loans is influenced by regional characteristics. Originality …

Persistent link: https://www.econbiz.de/10013352701

On Modeling Banking Risk

Tsionas, Efthymios G. - 2022

The paper develops new indices of financial stability based on an explicit model of expected utility maximization by financial institutions subject to the classical technology restrictions of neoclassical production theory. The model can be estimated using standard econometric techniques, like...

Persistent link: https://www.econbiz.de/10013492639

Are European banks in economic harmony? : an HLM aproach

Gander, James P. - 2012

A reduced-form equation relating the log of the capital account ratio to several micro and macro variables, particularly the profitability variable, for the commercial banks in nine European countries over eleven years, 1991-2001, was constructed. The equation consisted of a fixed-effects part...

Persistent link: https://www.econbiz.de/10009553208

Optimally solving banks' legacy problems

Segura, Anatoli; Suárez, Javier - 2019

We characterize policy interventions directed to minimize the cost to the deposit guarantee scheme and the taxpayers of banks with legacy problems. Non-performing loans (NPLs) with low and risky returns create a debt overhang that induces bank owners to forego profitable lending opportunities....

Persistent link: https://www.econbiz.de/10012017693

Macroprudential policy at the ECB : institutional framework, strategy, analytical tools and policies

Constâncio, Vítor (ed.); Cabral, Inês (contributor); … - 2019

This occasional paper describes how the financial stability and macroprudential policy functions are organised at the ECB. Financial stability has been a key policy function of the ECB since its inception. Macroprudential policy tasks were later conferred on the ECB by the Single Supervisory...

Persistent link: https://www.econbiz.de/10012033308

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