There is a current controversy concerning the appropriate size of capital requirements for banks to mitigate systemic losses. We are the first in kind to quantify the size of capital buffers required to reduce systemic losses using loan loss provisions data for Australian banks from 2002 to 2014...

The objective of this paper is to examine the impact of the new banking regulation on the European Union real economic activity in the period following the global financial crisis using a sample of 22 listed banking groups with high systemic importance, using dynamic panel models with a one-step...

The recent empirical studies suggest that a change in the policy interest rate has a significant impact on the liquidity management of the banks.Focusing on the role of the interbank market in mitigating a trade-off associated with the cost of precautionary hoarding of liquidity, this paper...

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

The urgency of estimating the impact of climate risks on the financial system is increasingly recognized among scholars and practitioners. By adopting a network approach to financial dependencies, we look at how climate policy risk might propagate through the financial system. We develop a...

Using a unique district-level panel data set, we investigate the effect of banking system penetration on financial inclusion in Ghana. To purge potential endogeneity bias in the underlying relationship, we exploit a change in the policy environment of the Ghanaian banking system to instrument...

The U.S. bank stress tests were introduced to improve the risk posture and management practices of large and complex banking institutions. This study investigates whether stress-tested banks in the U.S. converge to each other in their levels and determinants of profitability, as well as...

We propose a simple, parsimonious, and easily implementable method for stress-testing banks using a top-down approach that evaluates the impact of shocks to macroeconomic variables on banks' capitalization. Our method relies on a variable selection method to identify the macroeconomic drivers of...

We propose a simple, parsimonious, and easily implementable method for stress-testing banks using a top-down approach that evaluates the impact of shocks to macroeconomic variables on banks' capitalization. Our method relies on a variable selection method to identify the macroeconomic drivers of...

This paper contributes to the literature on systemic risk by examining the network structure of bilateral exposures in the global banking system. The global interbank market constitutes a major part of the global banking system. The market has a hierarchical network structure, composed of the...