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Stress Testing the Resilience of Financial Networks

Amini, Hamed - 2010

We propose a framework for stress testing the resilience of a financial network to external shocks affecting balance sheets. Whereas previous studies of contagion effects in financial networks have relied on large scale simulations, our approach uses a simple analytical criterion for resilience...

Persistent link: https://www.econbiz.de/10013134832

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10013128337

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

Persistent link: https://www.econbiz.de/10013131934

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012061369

The unfolding turmoil of 2007 - 2008 : lessons and responses

Cohen, Benjamin H.; Remolona, Eli M. - 2008

While the unfolding financial turmoil has involved new elements, more fundamental elements have remained the same. New elements include structured credit, the originate-to-distribute business model and the tri-party repurchase agreement. The recurrence of crises reflects a basic procyclicality...

Persistent link: https://www.econbiz.de/10003855412

Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations

Teeranutranont, Chanon - 2018

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk …

Persistent link: https://www.econbiz.de/10012926760

Credit Default Swaps and the Credit Crisis

Stulz, René M. - 2010

Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counter-party risk and that they...

Persistent link: https://www.econbiz.de/10013150917

Regulatory stress tests and bank responses

Janda, Karel; Kravtsov, Oleg - 2020

Persistent link: https://www.econbiz.de/10012533735

Regulating Risk Culture in Banks

Alexander, Kern - 2019

since the financial crisis of 2007-08 to address weaknesses in bank risk culture. The paper suggests that shortcomings in …

Persistent link: https://www.econbiz.de/10012894261

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress-test … assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We …

Persistent link: https://www.econbiz.de/10011520642