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Systemic Risk in the European Banking Sector
Borri, Nicola - 2012
Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …
Persistent link: https://www.econbiz.de/10013103612
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Mapping bank securities across euro area sectors : comparing funding and exposure networks
Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019
We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers …, since it supports the identification of counterparty risk, concentration risk and funding risk within the interbank network … and the wider macro-financial network. …
Persistent link: https://www.econbiz.de/10011997550
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CoMap: mapping contagion in the euro area banking sector
Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019
non-linear function of the combination of network structures and bank-specific characteristics. …This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within … contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find …
Persistent link: https://www.econbiz.de/10011959290
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Analyzing Systemic Risk of the European Banking Sector
Acharya, Viral V. - 2012
Since the summer of 2007, the financial system has faced two major systemic crises. European banks have been at the center of both crises, particularly of the European sovereign debt crisis. This article analyzes systemic risk of European banks across both crises exploiting the specific...
Persistent link: https://www.econbiz.de/10013100403
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Are Systemically Important Eurozone Banks Undercapitalized? A Stress Testing Approach
Kahlert, Dennis - 2017
. By revaluating the fair valued balance sheets on a daily basis, we calculate bank capital maximum drawdowns for different …
Persistent link: https://www.econbiz.de/10012972112
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How Excessive is Banks’ Maturity Transformation?
Segura, Anatoli; Suarez, Javier - 2021
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors’ preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10013248883
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Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments
Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …
Persistent link: https://www.econbiz.de/10012024808
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the …
Persistent link: https://www.econbiz.de/10012033284
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How Excessive Is Banks’ Maturity Transformation?
Segura, Anatoli - 2016
We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic...
Persistent link: https://www.econbiz.de/10012980515