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Bank Interventions and Options-Based Systemic Risk : Evidence from the Global and Euro-Area Crisis

Londono, Juan M.; Tian, Mary H. - 2017

Using a novel dataset on central bank interventions to financial institutions, we examine the impact of capital … compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated … using options that provide a hedge against large drops in the price of a bank index and its individual components. We find …

Persistent link: https://www.econbiz.de/10014121074

The role of state intervention in the financial sector : crisis prevention, containment, and resolution

Cho, Yun-je - 2010

This paper discusses the role of state intervention for prevention, containment, and resolution of financial crises based mainly on the Korean experience during the 1997 Asian financial crisis. Crises in emerging market and developing economies tend to be more complicated than those faced by...

Persistent link: https://www.econbiz.de/10003982933

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

The impact of policy interventions on systemic risk across banks

Nistor, Simona; Ongena, Steven - 2020

comprehensive sample that combines an original set of bank-specific bailout events with balance sheets of key affected and non …

Persistent link: https://www.econbiz.de/10012419677

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10012061674

Macro and Micro Prudential Regulatory Failures Amongst Financial Institutions in the United Kingdom : Lessons from Australia

Lui, Alison - 2018

regulation and oversight to provide a more stable financial environment. The author concludes that liquidity and bank leverage in …

Persistent link: https://www.econbiz.de/10012940557

Addressing systemic risk in Europe during Covid-19 : the role of regulation and the policy mix

Dotta, Vitor - 2022

regulation, the European Central Bank provided substantial monetary policy easing, for instance the release of capital buffers …

Persistent link: https://www.econbiz.de/10013188926

How to Make Banks Too Safe to Fail

Sarin, Natasha - 2019

Persistent link: https://www.econbiz.de/10012865125

Measuring and stress-testing market-implied bank capital

Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022

We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...

Persistent link: https://www.econbiz.de/10013168743

Revisiting the link between systemic risk and competition based on network theory and interbank exposures

Bátiz-Zuk, Enrique; Lara-Sánchez, José L. - 2021

This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures … competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between … competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess …

Persistent link: https://www.econbiz.de/10012796834