We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy … options to address this 'doom loop' in which the government may need to raise debt to recapitalise banks, and an increase in … government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an …

We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of … risk of banks with a low market capitalization. We argue that this adjusted measure of capital is the relevant market …-implied capital measure for policy makers. We propose an econometric model for the combined simulation of equity and CDS prices, which …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …: the amount of capital required, the design of capital requirements (complexity versus simplicity), proportionate …

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two … sample of 113 banks over the period of January 2011 to June 2018, and dynamic panel data estimators. We establish significant … transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the …

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress … capital requirements can have a disciplinary effect since banks publishing their requirements tend to have more robust capital … test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their …

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress … capital requirements can have a disciplinary effect since banks publishing their requirements tend to have more robust capital … test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their …