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Interbank network as a channel of credit contagion in banks : is moral hazard transferable?

Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through...

Persistent link: https://www.econbiz.de/10013407507

Investigation on the credit risk transfer effects on the banking stability and performance

Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...

Persistent link: https://www.econbiz.de/10013435725

Preventing bank runs

Andolfatto, David; Nosal, Ed; Sultanum, Bruno - In: Theoretical economics : TE ; an open access journal in … 12 (2017) 3, pp. 1003-1028

The work of Diamond and Dybvig, 1983 is commonly understood as a theory of bank runs driven by self …-fulfilling prophecies. Their contribution may alternatively be interpreted as a theory for preventing these bank runs. Absent aggregate risk …-run equilibrium, which suggests that Diamond and Dybvig, 1983 can be understood as a theory of bank runs. The use of direct mechanisms …

Persistent link: https://www.econbiz.de/10011744046

Macroprudential liquidity stress test : an application to Indonesian banks

Taruna, Aditya Anta; Harun, Cicilia Anggadewi; Nattan, … - In: Journal of central banking theory and practice 9 (2020), pp. 165-187

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June...

Persistent link: https://www.econbiz.de/10012306705

Vulnerability of Islamic banking in ASEAN

Iqbal, Muhammad; Kusuma, Hadri; Sunaryati, Sunaryati - In: Islamic economic studies 29 (2022) 2, pp. 159-168

Purpose This research evaluated the impact of credit risk, liquidity risk, profitability, economic growth and good governance on the vulnerability of the Islamic banking system in the Association of Southeast Asian Nations (ASEAN). Design/methodology/approach The panel regression analysis was...

Persistent link: https://www.econbiz.de/10013349980

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

Funding liquidity risk and asset risk of Indonesian Islamic rural banks

Widarjono, Agus; Wijayanti, Diana; Suharto, Suharto - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

This study explores the influence of funding liquidity risk and several control variables on Islamic rural banks’ asset risk in Indonesia. Our study analyzes Islamic rural banks comprising 142 Islamic banks with quarterly data from 2013: Q1 to 2018: Q4. Panel regression is then employed. We...

Persistent link: https://www.econbiz.de/10013461059

Rollover risk, liquidity and macroprudential regulation

Ahnert, Toni - In: Journal of money, credit and banking : JMCB 48 (2016) 8, pp. 1753-1785

Persistent link: https://www.econbiz.de/10011707954

On regulatory responses to the recent crisis : an assessment of the Basel market risk framework and the Volcker Rule

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Financial markets, institutions & instruments 24 (2015) 2/3, pp. 87-125

Persistent link: https://www.econbiz.de/10011316632

Bank capital buffers and bank risks : evidence from the Namibian banking sector

Sheefen, Johannes P. S. - In: International journal of business and economic sciences … 15 (2022) 3, pp. 60-68

in the study. Originality/value: The paper contributes to the hypothesized theory of countercyclical. The policy …

Persistent link: https://www.econbiz.de/10014281281

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