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Bank networks: Contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015

traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …

Persistent link: https://www.econbiz.de/10012064282

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/10011926736

Contagion effects of the Silicon Valley Bank run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …

Persistent link: https://www.econbiz.de/10014540982

Shock propagation in the banking system with real economy feedback

Borsos, Andras; Mero, Bence - 2020

economy. Our framework incorporates the interactions between the network of banks (exhibiting contagion mechanisms among them …

Persistent link: https://www.econbiz.de/10012619151

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10010531781

Credit contagion between financial systems

Podlich, Natalia; Wedow, Michael - 2011

We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …

Persistent link: https://www.econbiz.de/10010308731

Banking supervision in integrated financial markets : implications for the EU

Stolz, Stéphanie Marie - 2002

-border contagion effects could turn out to be important in the EU because national banking problems could easily spread via the highly … take cross-border contagion effects into account. Supervisors with such a national mandate fail to implement the optimum …

Persistent link: https://www.econbiz.de/10011514035

Centrality-based capital allocations

Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....

Persistent link: https://www.econbiz.de/10010471625

Banks' strategic interaction, adverse price dynamics and systemic liquidity risk

Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking system. In contrast, the SLS focusses on the problematic...

Persistent link: https://www.econbiz.de/10012888139

Credit contagion between financial systems

Podlich, Natalia; Wedow, Michael - Deutsche Bundesbank - 2011

Persistent link: https://www.econbiz.de/10010954915