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Asset encumbrance in banks : is systemic risk affected?

Cipollini, Fabrizio; Ielasi, Federica; Querci, Francesca - In: Research in international business and finance 67 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014451510

Estimating systemic risk for non-listed euro-area banks

Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023

The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...

Persistent link: https://www.econbiz.de/10014477734

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to...

Persistent link: https://www.econbiz.de/10014501102

Do weather disasters affect banks' systemic risks? : two channels that confirm it

Apergēs, Nikolaos - In: Applied economics letters 30 (2023) 14, pp. 1936-1939

Persistent link: https://www.econbiz.de/10014305397

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Persistent link: https://www.econbiz.de/10014505116

Central bank policy and the concentration of risk : empirical estimates

Coimbra, Nuno; Kim, Daisoon; Rey, Hélène - 2021

Persistent link: https://www.econbiz.de/10012521297

Corporate governance and systemic risk : evidence from Chinese-listed banks

Lee, Chien-chiang; Wang, Yurong; Zhang, Xiaoming - In: International review of economics & finance : IREF 87 (2023), pp. 180-202

Persistent link: https://www.econbiz.de/10014471837

Systemic risk in China's interbank lending market

Cao, Hongduo; Li, Ying; Chen, Weilong; Chen, Ji - In: Journal of mathematical finance 7 (2017) 1, pp. 188-198

Persistent link: https://www.econbiz.de/10011658466

A review of individual and systemic risk measures in terms of applicability for banking regulations

Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … banking (i.e., to model risk from a systemic point of view and not only from the perspective of an individual bank). As the …

Persistent link: https://www.econbiz.de/10011452984

Is There a Competition-Stability Trade-Off in European Banking?

Leroy, Aurélien - 2016

The trade-off between bank competition and financial stability has always been a widely and controversial issue, both … among policymakers and academics. This paper empirically re-investigates the relationship between competition and bank risk …-to-default, while we consider the SRISK as a proxy for bank systemic risk. Using the Lerner index as an inverse measure of competition …

Persistent link: https://www.econbiz.de/10013004570