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Measuring systemic risk across financial market infrastructures
Li, Fuchun; Pérez Saiz, Héctor - 2016
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. We construct indicators of credit risk exposures in three main Canadian FMIs during the period 2007-11 and...
Persistent link: https://www.econbiz.de/10011440454
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Credit risk and collateral demand in a retail payment system
Perez-Saiz, Hector; Xerri, Gabriel - 2016
The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail...
Persistent link: https://www.econbiz.de/10011515921
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Identifying Banking Crises Dates
Jutasompakorn, Pearpilai - 2011
This paper identifies banking crises dates based on market information embedded in banking stocks. Specifically, we estimate returns on banking indices around the world using a Markov Switching Autoregressive (MS-AR) model to capture regime shift behaviour in both the mean and variance from 1995...
Persistent link: https://www.econbiz.de/10013128998
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A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs
Jobst, Andreas (Andy) - 2013
The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress...
Persistent link: https://www.econbiz.de/10013084148
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The Effect of Central Bank Digital Currencies News on Financial Markets
Wang, Yizhi; Lucey, Brian M.; Vigne, Samuel; Yarovaya, … - 2021
Based on the coverage of over 660m news stories from LexisNexis News & Business between 2015–2021, we provide two new indices around the growing area of Central Bank Digital Currencies (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices...
Persistent link: https://www.econbiz.de/10013313996
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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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
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'Low-for-Long' Interest Rates and Banks' Interest Margins and Profitability : Cross-Country Evidence
Claessens, Stijn; Coleman, Nicholas; Donnelly, Michael - 2017
points) at low rates. Low rates also adversely affect bank profitability, but with more variation. And for each additional … year of "low for long", margins and profitability fall by another 9 and 6 basis points, respectively …
Persistent link: https://www.econbiz.de/10014122705
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Oil Price Volatility and Firm Profitability : An Empirical Analysis of Shariah-Compliant And non-Shariah-Compliant Firms
Bugshan, Abdullah Salem; Bakry, Walid; Li, Yongqing - 2021
Purpose–This study examines the impact of oil price volatility on firm profitability. As Shariah-compliant firms … listed on Gulf Cooperation Council stock exchanges from 2005 to 2019. In evaluating the oil price volatility–profitability … volatility significantly depresses firm profitability. In addition, Shariah-compliant firms are more significantly affected by …
Persistent link: https://www.econbiz.de/10013222952
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The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach
Tekin, Bilgehan - 2020
The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...
Persistent link: https://www.econbiz.de/10012854437