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Stress testing of the Czech banking sector

Jakubík, Petr; Heřmánek, Jaroslav - 2008

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...

Persistent link: https://www.econbiz.de/10010322230

Insurance, weather, and financial stability

Kahn, Charles M.; Panjwani, Ahyan; Santos, João A. C. - 2024

In this paper, we introduce a model to study the interaction between insurance and banking. We build on the Federal … Crop Insurance Act of 1980, which significantly expanded and restructured the decades-old federal crop insurance program … our model. Banks increased lending to the agricultural sector in counties with higher insurance coverage after 1980, even …

Persistent link: https://www.econbiz.de/10014551978

Banking reform

Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 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/10011554963

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

Persistent link: https://www.econbiz.de/10011557140

What are the key determinants of nonperforming loans in CESEE?

Jakubík, Petr; Reininger, Thomas - 2014

Credit risk assessment is a crucial part of macroprudential analysis, with the aggregate nonperforming loan (NPL) ratio serving as a proxy for the economy-wide probability of default of the banking sector's overall loan exposure. Therefore, the factors driving the NPL ratio deserve a lot of...

Persistent link: https://www.econbiz.de/10010429944

Accounting for financial stability : lessons from the financial crisis and future challenges

Bischof, Jannis; Laux, Christian; Leuz, Christian - 2020

This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues for the link between accounting and financial stability. Our analysis suggests that, going into the financial crisis, banks' disclosures about relevant risk exposures were...

Persistent link: https://www.econbiz.de/10012241734

The impact of regulatory stress tests on bank lending and Its macroeconomic consequences

Bräuning, Falk; Fillat Comenge, José Luis - 2020 - This version: October 2020

We use an expansive regulatory loan-level data set to analyze how the portfolios of the largest US banks have changed in response to the Dodd-Frank Act Stress Test (DFAST) requirements. We find that the portfolios of the largest banks, which are subject to stress-testing, have become more...

Persistent link: https://www.econbiz.de/10012395110

Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024

This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...

Persistent link: https://www.econbiz.de/10014530302

Commercial and banking credit network in Uruguay

Barón, Andrea; Landaberry, María Victoria; Lluberas, … - In: Latin American journal of central banking : LAJCB 2 (2021) 3, pp. 1-17

We build a commercial credit network, identify the most central economic sectors in terms of commercial debt, and provide a more complete idea of total indebtedness and financial interlinks between firms and banks in Uruguay. "Commerce," "manufacturing," and "transportation, storage, and...

Persistent link: https://www.econbiz.de/10012659012

Capital regulation, liquidity requirements and taxation in a dynamic model of banking

De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012

This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U–shaped relationship between...

Persistent link: https://www.econbiz.de/10009528883

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