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Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10011906282

Systemic risk in an interconnected banking system with endogenous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - 2014

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …

Persistent link: https://www.econbiz.de/10010339532

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

Tail Systemic Risk and Banking Network Contagion : Evidence from the Brazilian Banking System

Rivera-Castro, Miguel - 2018

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian...

Persistent link: https://www.econbiz.de/10012935520

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10011774690

Bank Interventions and Options-Based Systemic Risk : Evidence from the Global and Euro-Area Crisis

Londono, Juan M.; Tian, Mary H. - 2017

Using a novel dataset on central bank interventions to financial institutions, we examine the impact of capital … compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated … using options that provide a hedge against large drops in the price of a bank index and its individual components. We find …

Persistent link: https://www.econbiz.de/10014121074

Prudential Policies and Systemic Risk : The Role of Interconnections

Karamysheva, Madina - 2020

The impact of prudential policies in open economies depends not only on their intrinsic efficacy but also on the feedback of the policy through close financial partners. Using a dataset of advanced countries, we find that prudential policy measures reduce systemic risk in the financial system in...

Persistent link: https://www.econbiz.de/10012845064

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

Twelve years after the financial crisis - too-big-to-fail is still with us : comments on the Financial Stability Board's Consultation Report "Evaluation of the effects of too-big-to-fail reforms"

Hellwig, Martin - 2020

linear causal relationships. Finally, the comments point out that bank resolution of systemically important institutions is … resolution (in the EI), for lack of fiscal backstops (in the EU), and for lack of political acceptance of bank resolution with …

Persistent link: https://www.econbiz.de/10012306407

The influence of foreign direct investment on banking stability in a dual banking system during the COVID-19 pandemic and the global financial crisis

Alzarooni, Lubna; Al-Shboul, Mohammad; Maghyereh, Aktham I. - In: Borsa Istanbul Review 24 (2024) 5, pp. 1046-1058

This study investigates the impact of foreign direct investment (FDI) on bank stability in the Gulf Cooperation Council … FDI and bank stability, and Islamic banks can mitigate this impact, enhancing overall stability. Notably, during recent … crises (the global financial crisis (GFC) and the COVID-19 pandemic (COVID-19)), FDI's effect on bank stability intensified …

Persistent link: https://www.econbiz.de/10015142027