In this paper we investigate the impact of cyclical systemic risk on future bank profitability for a large … on linear local projections which allows us to study the estimated negative impact of cyclical systemic risk on bank … assess the impact of cyclical systemic risk on the tails of the future bank-level profitability distribution. Additionally …

conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O … O-SII reduced, in the short-term, their credit supply to households and financial sectors and shifted their lending to … less risky counterparts within the non-financial corporations. In the medium-term, the impact on credit supply is defused …