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Back to the basics in banking? : a micro-analysis of banking system stability

De Jonghe, Olivier - 2009

This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of …

Persistent link: https://www.econbiz.de/10011598573

Assessing systemic fragility : a probabilistic perspective

Radev, Deyan - 2014

We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS...

Persistent link: https://www.econbiz.de/10010419854

Bank transparency, asset and liquidity risks

Chen, Yehning; Hasan, Iftekhar; Takalo, Tuomas - 2025

We study the effects of bank transparency on both banks' asset and liquidity risks, and ultimately, on banking sector stability and welfare. We show how enhanced bank transparency increases banks' vulnerability to excessive deposit outflows, but this threat of a liquidity crisis incentivizes...

Persistent link: https://www.econbiz.de/10015375845

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

Persistent link: https://www.econbiz.de/10011663208

Pitfalls in the Use of Systemic Risk Measures

Löffler, Gunter - 2017

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank's systematic risk, idiosyncratic risk, size or...

Persistent link: https://www.econbiz.de/10012971890

Banking firm, equity and value at risk

Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification … achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR …

Persistent link: https://www.econbiz.de/10009768157

The nexus between loan portfolio size and volatility : does banking regulation matter?

Bremus, Franziska; Ludolph, Melina - 2019

diversification guidelines weaken the link between size and volatility. …

Persistent link: https://www.econbiz.de/10012102660

Loan portfolio diversification and bank returns : do business models and market power matter?

Huynh, Japan; Van Dan Dang - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

The paper examines how loan portfolio diversification drives bank returns, mainly focusing on the conditioning roles of … increased sectoral loan portfolio diversification reduces bank returns, but not all banks are equally affected. Banks that … adopted a business model towards non-interest activities are hurt less from loan portfolio diversification, and bank market …

Persistent link: https://www.econbiz.de/10013183785

Bank Risk in Uncertain Times : Do Credit Rationing and Revenue Diversification Matter?

De Silva, Ashton; Huu Nhan Duong; Nguyen, My; Nguyen, … - 2022

, during times of economic policy uncertainty through two economic channels: ‘credit rationing’ and ‘revenue diversification … adverse selection and moral hazard problems leading to higher bank risk. The revenue diversification channel suggests that as …

Persistent link: https://www.econbiz.de/10014236945

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2019

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Persistent link: https://www.econbiz.de/10012901818