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Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

Has "too big to fail" been solved? : a longitudinal analysis of major U.S. banks

Thosar, Satish; Schwandt, Bradley - In: Journal of risk and financial management : JRFM 12 (2019) 1/24, pp. 1-14

In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...

Persistent link: https://www.econbiz.de/10012022346

Brož, Václav; Kočenda, Evžen - In: Journal of international money and finance 122 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013433549

Systemic risk in the banking sector : the German model

Burghof, Hans-Peter; Gischer, Horst - In: Vierteljahreshefte zur Arbeits- und … 1 (2024) 2, pp. 155-183

As part of the completion of the European Banking Union, the decision on the organization of institutional and deposit protection is still pending. The mere linking of these two objectives, which are by no means necessarily identical in terms of content, has recently led to heated controversy....

Persistent link: https://www.econbiz.de/10015393718

Failure to learn from failure : the 2008 mortgage crisis as a déjà vu of the mortgage meltdown of 1994

Vinokurova, Natalya - In: Business history 61 (2019) 6, pp. 1005-1050

Persistent link: https://www.econbiz.de/10012181710

Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Persistent link: https://www.econbiz.de/10012622472

Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence

Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Persistent link: https://www.econbiz.de/10014505870

The real estate and credit bubble : evidence from Spain

Akin, Ozlem; García Montalvo, José; García Villar, Jaume - In: SERIEs : Journal of the Spanish Economic Association 5 (2014) 2/3, pp. 223-243

mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, and the … appraisal and market price) at the mortgage level, matched with borrower characteristics (such as income, labor status and … results suggest too soft lending standards and excessive risk-taking in the boom. For example, mortgage spreads for non …

Persistent link: https://www.econbiz.de/10010422334

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

The SME struggle for financing : a clampdown in European banks post-crisis

Paulet, Elisabeth; Parnaudeau, Miia; Abdessemed, Tamym - In: Journal of business strategy 35 (2014) 2, pp. 36-45

Persistent link: https://www.econbiz.de/10010385661