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A macroprudential framework for the early detection of banking problems in emerging economies
Loser, Claudio M.; Kiguel, Miguel A.; Mermelstein, David - 2010
crisis. It shows that the proposed vulnerability indicator started to increase steadily beginning in 1999, following 2 years … in which it had remained flat, and it finally peaked in mid-2001, which was just before the onset of the crisis. …
Persistent link: https://www.econbiz.de/10011283443
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Banking supervision in integrated financial markets : implications for the EU
Stolz, Stéphanie Marie - 2002
I analyze the optimal design of banking supervision in the presence of cross-border lending. Cross-border lending could imply that an individual bank failure in one country could trigger negative spillover effects in another country. Such cross-border contagion effects could turn out to be...
Persistent link: https://www.econbiz.de/10011514035
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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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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks
Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
experience of the financial crisis by integrating the current low interest rate environment, we analyse the stress impact on …
Persistent link: https://www.econbiz.de/10011308474
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The impact of the Basel accord on Greek banks : a stress test study
Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197
show an increase of credit risk during the crisis periods, and the differentiation of risk depending on the size of the …
Persistent link: https://www.econbiz.de/10011545145
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Bank lending strategy, credit scoring and financial crises
Dinh, Thanh Thi Huyen; Kleimeier, Stefanie; Straetmans, … - 2013
Persistent link: https://www.econbiz.de/10010199477
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Good buffer, bad buffer
Jayaraman, Sudarshan; Schonberger, Bryce; Wu, Joanna Shuang - 2017
emerging market crisis to capture an adverse supply shock to bank capital, we show, consistent with the bright-side, that …
Persistent link: https://www.econbiz.de/10011800688
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Macroprudential regulation and systemic capital requirements
Gauthier, Céline; Lehar, Alfred; Souissi, Moez - 2010
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements … allocation mechanisms reduce default probabilities of individual banks as well as the probability of a systemic crisis by about …
Persistent link: https://www.econbiz.de/10003933397
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
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Macroprudential policy : a blessing or a curse?
Popoyan, Lilit - 2016
After the destructive impact of the global financial crisis of 2008, many believe that pre-crisis financial market … after the post-crisis "new normal". Here, I review recent progress in empirical and theoretical research on the …
Persistent link: https://www.econbiz.de/10011477338