We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility, increases risk premia on asset prices and yields a new benefit from …

fluctuation is stronger for savings banks than for cooperative banks, as, for savings banks, risk-weighted assets fluctuate more … not decrease risk-weighted assets in a business cycle downturn by more than well-capitalized banks. This finding seems to …

default rates. This paper discusses the impact of the dependency of financial collaterals and default rates on credit risk … German capital markets. -- Basel II ; Capital Adequacy Requirements ; Value at Risk ; Loss Given Default ; Probability of …

We empirically assess the sensitivity of Basel risk weights to bank portfolio risk and the business cycle. With our … econometric model, we distinguish between cross-sectional risk sensitivity and longitudinal risk sensitivity (cyclicality) of the … regulatory standard. Employing a comprehensive data set covering 200 large banks from 28 countries, we find that actual risk …

institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected … shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which is the capital that a … firm is expected to need if we have another financial crisis.FindingsLarge acquiring banks decrease systemic risk …

eliminates failures but stops lending for larger liquidity risks whereas a liquidity ratio might be a way to reduce risk …

Bank leverage ratios have made an impressive and largely unopposed return; they are mostly used alongside risk …