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to discipline bank managers who would otherwise make suboptimal or wasteful investment decisions. We propose a way to …
Persistent link: https://www.econbiz.de/10013149380
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of …
Persistent link: https://www.econbiz.de/10013119487
In 2011, the largest banks were designated as Global Systemically Important Banks (GSIBs) by the Financial Stability Board. While these banks face closer supervision and additional constraints, they also benefit from an implicit guarantee from their governments. The changed environment for these...
Persistent link: https://www.econbiz.de/10014362206
provided early warning signals in the case study of Deutsche Bank in mid-2016. Using our measure, we demonstrate which bank …- and country-specific characteristics are related to bank systemic importance. We find higher systemic importance for banks … systemic importance of a bank …
Persistent link: https://www.econbiz.de/10012830827
This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...
Persistent link: https://www.econbiz.de/10013057098
Although still incipient in economics and finance, compositional data analysis (in which relative information is more important than absolute values are) has become more relevant in statistical analysis in recent years. This article constructs a concentration index for financial/banking systems...
Persistent link: https://www.econbiz.de/10013358723
English Abstract: This article discusses different aspects of the notion of systemic risk in the banking sector, including its effect on systemically important banks. The author defines the list of systemically important banks in Ukraine for several approaches. The proposals to reduce the...
Persistent link: https://www.econbiz.de/10013031601
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10009509091
In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...
Persistent link: https://www.econbiz.de/10012022346
In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking system. In contrast, the SLS focusses on the problematic...
Persistent link: https://www.econbiz.de/10013294816