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How demanding and consistent is the 2018 stress test design in comparison to previous exercises? : banking union scrutiny

Haselmann, Rainer; Wahrenburg, Mark - 2018

We provide an assessment of the design and calibration of the 2018 EU-wide stress test. The adverse scenario for the 2018 stress test is more severe than for previous stress tests in terms of the assumed GDP decline in the EU area. However, the test is less severe in terms of the losses that...

Persistent link: https://www.econbiz.de/10011895471

Banks' portfolio of government debt and sovereign risk

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the...

Persistent link: https://www.econbiz.de/10014383613

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

Persistent link: https://www.econbiz.de/10011381702

Cross-border interbank contagion in the European banking sector

Gabrieli, Silvia; Salakhova, Dilyara; Vuillemey, Guillaume - 2015

Persistent link: https://www.econbiz.de/10011305241

Systemic effects of bank equity issues : competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011791471

Decomposing systemic risk : the roles of contagion and common exposures

Hałaj, Grzegorz; Hipp, Ruben - 2024

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …

Persistent link: https://www.econbiz.de/10014527066

Bank and sovereign debt risk connection

Darracq Pariès, Matthieu; Faia, Ester; Rodriguez … - 2013 - This draft: November 2013

Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden deposit withdrawals): banks invest in risky government bonds as a form of...

Persistent link: https://www.econbiz.de/10012060960

Bank and Sovereign Risk Feedback Loops

Erce, Aitor - 2017

Measures of Sovereign and Bank Risk show occasional bouts of increased correlation, setting the stage for vicious and virtuous feedback loops. This paper models the macroeconomic phenomena underlying such bouts using CDS data for 10 euro-area countries. The results show that Sovereign Risk feeds...

Persistent link: https://www.econbiz.de/10012971238

Bank and Sovereign Risk Feedback Loops

Erce, Aitor - 2017

Measures of sovereign and bank risk show occasional bouts of increased correlation, setting the stage for vicious and virtuous feedback loops. This paper models the macroeconomic phenomena underlying such bouts using CDS data for 10 euro area countries. The results show that sovereign risk feeds...

Persistent link: https://www.econbiz.de/10012971724

Sovereigns and financial intermediaries spillovers

Tabarraei, Hamid Reza; Rouabah, Abdelaziz; Pierrard, Olivier - 2019

We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on...

Persistent link: https://www.econbiz.de/10012009433