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Investigation on the credit risk transfer effects on the banking stability and performance

Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit … their effects on the bank risk, liquidity and profitability before the crisis event and contributes to the recent scarce …

Persistent link: https://www.econbiz.de/10013435725

Liquidity stress testing with second-round effects : application to the Czech banking sector

Geršl, Adam; Komárková, Zlatuše; Komárek, Luboš - In: Finance a úvěr 66 (2016) 1, pp. 32-49

Persistent link: https://www.econbiz.de/10011454314

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

Risk committee complexity and liquidity risk in the European banking industry

Galletta, Simona; Mazzù, Sebastiano; Scannella, Enzo - In: Journal of economic behavior & organization : JEBO 192 (2021), pp. 691-703

Persistent link: https://www.econbiz.de/10013188643

Macroprudential liquidity stress test : an application to Indonesian banks

Taruna, Aditya Anta; Harun, Cicilia Anggadewi; Nattan, … - In: Journal of central banking theory and practice 9 (2020), pp. 165-187

transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the …

Persistent link: https://www.econbiz.de/10012306705

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012061369

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10011906282

Interconnected banks and systemically important exposures

Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019

supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of …

Persistent link: https://www.econbiz.de/10012132464

Financial stability in Europe : banking and sovereign risk

Brůha, Jan; Kočenda, Evžen - In: Journal of financial stability 36 (2018), pp. 305-321

Persistent link: https://www.econbiz.de/10012156918

Evaluating systemic risk using bank default probabilities in financial networks

Souza, Sergio Rubens Stancato de; Silva, Thiago Christiano - In: Journal of economic dynamics & control 66 (2016), pp. 54-75

Persistent link: https://www.econbiz.de/10011708369