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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021
rationalize these findings in a model featuring both private and firm-specific collateral …
Persistent link: https://www.econbiz.de/10012643066
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Ongena, Steven - 2019
rationalize these findings in a model featuring both private and firm-specific collateral. …
Persistent link: https://www.econbiz.de/10012064522
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
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The "Celtic crisis" : guarantees, transparency, and systemic liquidity risk ; conference paper
König, Philipp Johann; Anand, Kartik; Heinemann, Frank - 2013
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated, the credibility and effectiveness of these guarantees is...
Persistent link: https://www.econbiz.de/10010344594
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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 … a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress …
Persistent link: https://www.econbiz.de/10011984810
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has rendered the latter a systemically important institution, whose failure poses a serious threat to global financial stability. This work investigates the potential failure of a...
Persistent link: https://www.econbiz.de/10011870658
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Too interconnected to fail : a survey of the interbank networks literature
Hüser, Anne-Caroline - 2015 - First version: December 2014, This version: March 2015
The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks. We assess our current understanding of the structure...
Persistent link: https://www.econbiz.de/10010491738
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Too interconnected to fail : a survey of the Interbank Networks literature
Hüser, Anne-Caroline - 2016
The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks and assesses our current understanding of the structure...
Persistent link: https://www.econbiz.de/10012061680
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A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk
O'Halloran, Sharyn - 2017
In this paper, we simulate and analyze the impact of financial regulations concerning the collateralization of derivative trades on systemic risk - a topic that has been vigorously discussed since the financial crisis in 2007/08. Experts often disagree on the efficacy of these regulations....
Persistent link: https://www.econbiz.de/10012941050
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The fragility of short-term secured funding markets
Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - 2013
, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which … ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity … possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the …
Persistent link: https://www.econbiz.de/10010200411