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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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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
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The ECB's 2019 liquidity stress test : An event study evaluating the impact on owners and creditors
Börner, Christoph J.; Krettek, Jonas - In: Credit and capital markets : Kredit und Kapital 54 (2021) 2, pp. 223-263
Persistent link: https://www.econbiz.de/10012626515
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How excessive is banks' maturity transformation?
Segura, Anatoli; Suárez, Javier - 2016
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/10011974655
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Loan Pricing by Euro Area Risk Averse Banks in an Environment of Extended Central Bank Liquidity Provision
Camba-Mendez, Gonzalo - 2019
characterised by market fragmentation and extended liquidity provision by the ECB. For our analysis we develop a theoretical …
Persistent link: https://www.econbiz.de/10012860907
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What are the real effects of financial market liquidity? : evidence on bank lending from the euro area
Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018
We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …
Persistent link: https://www.econbiz.de/10011897986
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Systemic Risk in the European Banking Sector
Borri, Nicola - 2012
Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, large and interconnected financial institutions. In this paper we estimate the systemic risk contribution of each financial institution in a large sample of European banks....
Persistent link: https://www.econbiz.de/10013103612
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Central bank collateral frameworks
Nyborg, Kjell G. - 2015
on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …
Persistent link: https://www.econbiz.de/10011296085
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The bank-sovereign loop and financial stability in the Euro area
Fontana, Alessandro; Langedijk, Sven - 2019
We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy options to address this 'doom loop' in which the government may need to raise debt to recapitalise banks, and an increase in government debt raises sovereign risk and in turn...
Persistent link: https://www.econbiz.de/10012053254
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308