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(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Glaser, Florian; Panz, Sven - 2016

Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed … not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be … potential effects of procyclicality in distressed periods. Based on a unique data set provided by a large European Central …

Persistent link: https://www.econbiz.de/10011975294

Financial contagion with spillover effects : a multiplex network approach

Peralta, Gustavo; Crisóstomo, Ricardo - 2016

This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....

Persistent link: https://www.econbiz.de/10011975678

Pockets of risk in European housing markets : then and now

Kelly, Jane; Le Blanc, Julia; Lydon, Reamonn - 2019

Using household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the...

Persistent link: https://www.econbiz.de/10011978833

Electoral cycles in macroprudential regulation

Müller, Karsten - 2019

Do politics matter for macroprudential policy? I show that changes to macroprudential regulation exhibit a predictable electoral cycle in the run-up to 221 elections across 58 countries from 2000 through 2014. Policies restricting mortgages and consumer credit are systematically less likely to...

Persistent link: https://www.econbiz.de/10012135983

The demand for central clearing : to clear or not to clear, that is the question

Bellia, Mario; Panzica, Roberto Calogero; Pelizzon, Loriana - 2017

This paper analyses whether the post-crisis regulatory reforms developed by globalstandard-setting bodies have created appropriate incentives for different types of market participants to centrally clear Over-The-Counter (OTC) derivative contracts. Beyond documenting the observed facts, we...

Persistent link: https://www.econbiz.de/10011978434

Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Indicators for the monitoring of central counterparties in the EU

Alfranseder, Emanuel; Fiedor, Paweł; Lapschies, Sarah; … - 2018

This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual measures and discusses different aspects that...

Persistent link: https://www.econbiz.de/10011925688

From the horse's mouth : surveying responses to stress by banks and insurers

Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf - 2018

Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....

Persistent link: https://www.econbiz.de/10011925698

Luxembourg : addressing new challenges in a major financial sector

Wurzel, Eckhard; Azzopardi, Damien - 2015

Over the last two and a half decades, Luxembourg’s financial sector emerged as a leading international hub for asset management and investment funds and became a key contributor to growth. Diversification into new areas of financial asset management is continuing. However, changing financial...

Persistent link: https://www.econbiz.de/10011399552

Pension fund investment in infrastructure : a comparison between Australia and Canada

Inderst, Georg; Della Croce, Raffaele - 2013

Australian and Canadian pension funds have been pioneers in infrastructure investing since the early 1990s. They also have the highest asset allocation to infrastructure around the globe today. This paper compares and contrasts the experience of institutional investors in the two countries...

Persistent link: https://www.econbiz.de/10009767832

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