Narrow search
Showing 1 - 10 of 434,561
Cover Image
The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10011992507
Cover Image
The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Persistent link: https://www.econbiz.de/10012060359
Cover Image
What drives the relationship between bank and sovereign credit risk?
Schnabel, Isabel; Schüwer, Ulrich - 2016
' diversification of sovereign exposures could be an effective measure to mitigate the sovereign-bank nexus. …
Persistent link: https://www.econbiz.de/10011559528
Cover Image
Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2019
Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform....
Persistent link: https://www.econbiz.de/10012061145
Cover Image
Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2018
Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform policy discussions, this paper simulates portfolio...
Persistent link: https://www.econbiz.de/10011978559
Cover Image
The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012838336
Cover Image
The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012901818
Cover Image
The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012869705
Cover Image
The Effect of Possible EU Diversification Requirements on the Risk of Banks' Sovereign Bond Portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2021
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10013315063
Cover Image
The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers
Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10011764975