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In this paper we investigate how financial system stability, assessed through market-based systemic risk measures (SRMs), relates to climate-induced catastrophes and to the structural change caused by the low-carbon transition. We first detect whether, to what extent and how quickly SRMs of the...
Persistent link: https://www.econbiz.de/10013306172
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...
Persistent link: https://www.econbiz.de/10014280065
This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses …
Persistent link: https://www.econbiz.de/10014350584
We examine how intermediary capitalization affects asset prices in a framework that allows for intermediary market power. We introduce a model in which capital-constrained intermediaries buy or trade an asset in an imperfectly competitive market, and we show that weaker capital constraints lead...
Persistent link: https://www.econbiz.de/10014456644
' contribution to systemic risk by ΔCoVaR, that measures the contribution of bank i to the financial system VaR when bank i is in a … banks and on the need to curb their size. We find that size is indeed the main predictor of a bank contribution to systemic …
Persistent link: https://www.econbiz.de/10013029151
meaningful. Despite unprecedented central bank intervention, the stock returns of both U.S. and European banks have remained … significantly related to market and bank-level fundamentals in the years since the financial crisis. Modeling bank returns as a … function of their profitability, growth and solvency explains 44% to 60% of the variation in U.S. and European bank stock …
Persistent link: https://www.econbiz.de/10013030666
within the framework of the central bank, functional model of financial supervision). Creation of financial supermarkets … encourages integration of supervisory institutions, generally outside the central bank. In the Czech Republic, several versions … Bank with close liaison between execution of monetary policy and supervisory activities. Institutional structure does not …
Persistent link: https://www.econbiz.de/10011459353
financial inclusion negatively hurts bank stability, and this effect will be improved if it is implemented in an environment of … results are consistent across all three measures of bank stability, Zscore, standardized Zscore, and non-performing loans (NPL …
Persistent link: https://www.econbiz.de/10014500740
firm incentives in a post-reform financial system. -- Financial regulatory reform ; corporate governance ; bank charter … ; bank insolvency …
Persistent link: https://www.econbiz.de/10008657240
significantly. The Asian financial crisis and the structural reform had the effect of slowing the adjustment speed of bank …
Persistent link: https://www.econbiz.de/10008987442