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Harmonic distances and systemic stability in heterogeneous interbank networks

Fukker, Gábor - 2017

This paper investigates the effects of contagion in interbank lending networks. I introduce a new measure based on the harmonic distance of Acemoglu et al. (2015b) and, motivated by their theoretical results, compare it to well-known centrality measures already applied in the systemic risk...

Persistent link: https://www.econbiz.de/10011579475

Shock propagation in the banking system with real economy feedback

Borsos, Andras; Mero, Bence - 2020

into a liquidity stress testing framework of the Central Bank of Hungary, and our results proved the importance of the real …

Persistent link: https://www.econbiz.de/10012319121

Assessing systemic risk : an analysis of the German banking sector

Rotermund, Sophie-Dorothee - 2019

This paper examines the impact of bank heterogeneity on the assessment of systemic risk in the context of the German …' heterogeneity and to signal systemic risk reliably regardless of different bank types’ individual characteristics. For the … assessment, currently employed systemic risk indicators are applied to bank-type-specific data for six different bank types from …

Persistent link: https://www.econbiz.de/10012117773

Macroprudential Buffers : Trading Systemic Risk for Risk Premia

Brøgger, Andreas - 2022

I document that equity prices fall as macroprudential buffers are announced. This is consistent with macroprudential buffers leading to an increase in risk premia, from a heightened price of risk. Theoretically, I develop a model that predicts that as buffers are announced 1) The price of risk...

Persistent link: https://www.econbiz.de/10014236397

Rethinking financial regulation : how confusion has prevented progress

Admati, Anat R. - 2015

The extreme fragility of the financial system that gives rise to systemic risk and crises is rooted in the incentives of people within this system and the failure of regulation to counter these incentives. The same forces that increase systemic risk also distort credit markets, exacerbate...

Persistent link: https://www.econbiz.de/10011492997

Regulating systemic risk

Kawai, Masahiro; Pomerleano, Michael - 2010

The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. The paper argues that financial crises can be prevented, as they build up over time due to policy mistakes and eventually erupt...

Persistent link: https://www.econbiz.de/10003928099

Financial inclusion and financial stability : current policy issues

Hannig, Alfred; Jansen, Stefan - 2010

volumes. Although this profile may raise some concerns regarding reputational risks for the central bank and consumer …

Persistent link: https://www.econbiz.de/10008908093

How Much Can Regulation Lower Systemic Risk?

Boman, Arthur - 2013

CoVaR seeks to use joint return data to measure a firm's contribution to systemic risk. To learn what comprehensive regulatory changes can do to systemic risk in general, and CoVaR in particular, this paper uses difference-in-difference to estimate the impact of the extensive and coincident U.S....

Persistent link: https://www.econbiz.de/10013072595

The Regulatory Responses to the Global Financial Crisis : Some Uncomfortable Questions

Claessens, Stijn - 2014

We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into...

Persistent link: https://www.econbiz.de/10013055666

Bail-Ins Versus Bail-Outs : Using Contingent Capital to Mitigate Systemic Risk

Coffee, John C. - 2010

Persistent link: https://www.econbiz.de/10013138295