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  1. Contagion accounting
    Autor*in: Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, Christoffer
    Erschienen: December 2020
    Verlag:  Bank of England, London

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    Schriftenreihe: Staff working paper / Bank of England ; no. 897
    Schlagworte: Interbank networks; contagion; overlapping portfolios; fire sales; stress testing
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. Bank competition for wholesale funding
    evidence from corporate deposits
    Autor*in: Aldasoro, Iñaki; Balke, Florian; Barth, Andreas; Eren, Egemen
    Erschienen: February 28, 2019
    Verlag:  Verein für Socialpolitik, [Leipzig]

    When banks are faced with a funding shortage in money market wholesale funding, they partly substitute by tapping other wholesale funding sources. Using auction-level data on large corporate deposits, we trace these substitution effects and their... mehr

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    When banks are faced with a funding shortage in money market wholesale funding, they partly substitute by tapping other wholesale funding sources. Using auction-level data on large corporate deposits, we trace these substitution effects and their implications, which go beyond the balance sheets of banks affected by the funding shortage. Banks which are forced to seek alternative funding sources ("affected" banks) crowd out other initially unaffected banks, which pay substantially more to retain funding. Affected banks achieve funding substitution mostly through an intensive margin adjustment, increasing their share of funding coming from stable funding providers. We document a mechanism to explain this observation, building on the existence of a pecking order of funding in fragmented markets and the matching of banks' and firms' preferences. The crowding-out of initially unaffected banks worsens their pool of funding providers. The stock prices of these banks underperform those of affected banks, while CDS spreads remain unchanged between the two groups. Our results suggest that crowding out in funding markets affect competitiveness on the asset side.

     
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    hdl: 10419/203578
    Schriftenreihe: Array ; Array
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  3. Contagion accounting
    Autor*in: Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, Christoffer
    Erschienen: [2020]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to... mehr

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    We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price dynamics via fire sales. We apply the framework to three granular proprietary ECB datasets, including an interbank network of 26 large euro area banks as well as their overlapping portfolios of loans, derivatives and securities. A 5 percent shock to the price of assets held in the trading book leads to an initial loss of 30 percent of system equity and an additional loss of 1.3 percent due to fire sales spillovers. Direct interbank contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of fire sales.

     
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    ISBN: 9789289944458
    Weitere Identifier:
    hdl: 10419/229113
    Schriftenreihe: Working paper series / European Central Bank ; no 2499 (December 2020)
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  4. Contagion accounting
    Autor*in: Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, Christoffer
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

    We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to... mehr

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    We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price dynamics via fire sales. We apply the framework to three granular proprietary ECB datasets, including an interbank network of 26 large euro area banks as well as their overlapping portfolios of loans, derivatives and securities. A 5 percent shock to the price of assets held in the trading book leads to an initial loss of 30 percent of system equity and an additional loss of 1.3 percent due to fire sales spillovers. Direct interbank contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of fire sales.

     
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    Schriftenreihe: BIS working papers ; no 908 (December 2020)
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  5. The macro-financial effects of international bank lending on emerging markets
    Autor*in: Aldasoro, Iñaki; Beltrán, Paula; Grinberg, Federico; Mancini Griffoli, Tommaso
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 899 (November 2020)
    Umfang: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  6. Global and domestic financial cycles
    variations on a theme
    Autor*in: Aldasoro, Iñaki; Avdjiev, Stefan; Borio, Claudio E. V.; Disyatat, Piti
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Format: Online
    Schriftenreihe: BIS working papers ; no 864 (May 2020)
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  7. The drivers of cyber risk
    Autor*in: Aldasoro, Iñaki; Gambacorta, Leonardo; Giudici, Paolo; Leach, Thomas
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 865 (May 2020)
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  8. Asset managers, market liquidity and bank regulation
    Autor*in: Aldasoro, Iñaki; Huang, Wenqian; Tarashev, Nikola A.
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 933 (March 2021)
    Schlagworte: investment funds; herding; bank regulation; leverage ratio; social welfare
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  9. Bank networks
    contagion, systemic risk and prudential policy
    Autor*in: Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester
    Erschienen: [2015]
    Verlag:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    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... mehr

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    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 matching algorithm. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configuration exhibits a coreperiphery structure, dis-assortative behavior and low density. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets). Equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment.

     
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    Weitere Identifier:
    hdl: 10419/203292
    Auflage/Ausgabe: This Draft: July 2015
    Schriftenreihe: SAFE working paper ; no. 87
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  10. Systemic risk in markets with multiple central counterparties
    Autor*in: Veraart, Luitgard A. M.; Aldasoro, Iñaki
    Erschienen: November 2022
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 1052
    Schlagworte: Central counterparties; systemic risk; contagion; stress testing; Cover 2
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  11. Operational and cyber risks in the financial sector
    Autor*in: Aldasoro, Iñaki; Gambacorta, Leonardo; Giudici, Paolo; Leach, Thomas
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 840 (February 2020)
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  12. Spillovers of funding dry-ups
    Autor*in: Aldasoro, Iñaki; Balke, Florian; Barth, Andreas; Eren, Egemen
    Erschienen: 2019
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 810 (September 2019)
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  13. The Janus face of bank geographic complexity
    Autor*in: Aldasoro, Iñaki; Hardy, Bryan; Jager, Maximilian
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 858 (April 2020)
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  14. Non-bank lending during crises
    Autor*in: Aldasoro, Iñaki; Dörr, Sebastian; Zhou, Haonan
    Erschienen: February 2023
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 1074
    Schlagworte: Non-banks; syndicated loans; financial crises; financial stability; relationship lending
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  15. Indirect contagion
    the policy problem
    Autor*in: Clerc, Laurent; Giovannini, Alberto; Langfield, Sam; Peltonen, Tuomo; Portes, Richard; Scheicher, Martin; Aldasoro, Iñaki; Gabrieli, Silvia; Hansen, Henrik; Hodbod, Alex; Kick, Heinrich; Mazelis, Falk; Vuillemey, Guillaume
    Erschienen: [2016]
    Verlag:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would investigate every possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human contact... mehr

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    An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would investigate every possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human contact would underestimate the pandemic risk if the disease could also spread through the air. Likewise, calculating the quantity of financial system risk requires practitioners to understand all of the channels through which small and local shocks can become big and global. Much of the empirical finance literature has focused only on "direct" contagion arising from firms' contractual obligations. Direct contagion occurs if one firm's default on its contractual obligations triggers distress (such as illiquidity or insolvency) at a counterparty firm. But contractual obligations are not the only means by which financial distress can spread, just as close human contact is not the only way that many infectious diseases are transmitted. Focusing only on direct contagion underestimates the risk of financial crisis given that other important channels exist. This paper represents an attempt to move systemic risk analysis closer to the holism of epidemiology. In doing so, we begin by identifying the fundamental channels of indirect contagion, which manifest even in the absence of direct contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce each other, generating a vicious spiral. The second is information spillovers, in which bad news can adversely affect a broad range of financial firms and markets. Indirect contagion spreads market failure through these two channels. In the case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity or of fire-selling assets into a thin market. Lack of information and information asymmetries can cause markets to unravel, even following a relatively small piece of bad news. In both cases, market players act in ways that are privately optimal but socially harmful. The spreading of market failure by indirect contagion motivates policy intervention. Substantial progress has been made in legislating for policies that will improve systemic resilience to indirect contagion. But more tools might be needed to achieve a fully effective and efficient macroprudential policy framework. This paper aims to frame a high-level policy discussion on three policy tools that could be effective and efficient in ensuring systemic resilience to indirect contagion - namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure.

     
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    ISBN: 9789295081253
    Weitere Identifier:
    hdl: 10419/193604
    Schriftenreihe: Occasional paper series / European Systemic Risk Board ; no 9 (January 2016)
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  16. Shedding light on dark markets
    first insights from the new EU-wide OTC derivatives dataset
    Autor*in: Abad, Jorge; Aldasoro, Iñaki; Aymanns, Christoph; D'Errico, Marco; Rousová, Linda; Hoffmann, Peter; Langfield, Sam; Neychev, Martin; Roukny, Tarik
    Erschienen: [2016]
    Verlag:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    Policy is only as good as the information at the disposal of policymakers. Few moments illustrate this better than the uncertainty before and after the default of Lehman Brothers and the subsequent decision to stand behind AIG. Authorities were... mehr

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    Policy is only as good as the information at the disposal of policymakers. Few moments illustrate this better than the uncertainty before and after the default of Lehman Brothers and the subsequent decision to stand behind AIG. Authorities were forced to make critical policy decisions, despite being uncertain about counterparties' exposures and the protection sold against their default. Opacity has been a defining characteristic of over-the-counter derivatives markets - to the extent that they have been labelled "dark markets" (Duffie, 2012). Motivated by the concern that opacity exercerbates crises, the G20 leaders made a decisive push in 2009 for greater transparency in derivatives markets. In Europe, this initiative was formalised in 2012 in the European Markets Infrastructure Regulation (EMIR), which requires EU entities engaging in derivatives transactions to report them to trade repositories authorised by the European Securities Markets Authority (ESMA). Derivatives markets are thus in the process of becoming one of the most transparent markets for regulators. This paper represents a first analysis of the EU-wide data collected under EMIR. We start by describing the structure of the dataset, drawing comparisons with existing survey-based evidence on derivatives markets. The rest of the paper is divided into three sections, focusing on the three largest derivatives markets (interest rates, foreign exchange and credit).

     
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    ISBN: 9789295081628
    Weitere Identifier:
    hdl: 10419/193606
    Schriftenreihe: Occasional paper series / European Systemic Risk Board ; no 11 (September 2016)
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  17. Syndicated loans and CDS positioning
    Autor*in: Aldasoro, Iñaki; Barth, Andreas
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no... mehr

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    This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no evidence of banks using the CDS market for capital relief. Banks are more likely to hedge exposures to relatively riskier borrowers and less likely to sell CDS protection on domestic firms. Lead arrangers tend to buy more protection, potentially exacerbating asymmetric information problems. Dealer banks seem insensitive to firm risk, and hedge more than non-dealers when they are more profitable. These results allow for a better understanding of banks' credit risk management.

     
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    ISBN: 9789295210455
    Weitere Identifier:
    hdl: 10419/193565
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 58 (November 2017)
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  18. Bank solvency risk and funding cost interactions in a small open economy
    evidence from Korea
    Autor*in: Aldasoro, Iñaki; Park, Kyounghoon
    Erschienen: August 2018
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 738
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  19. External financing and economic activity in the euro area
    why are bank loans special?
    Autor*in: Aldasoro, Iñaki; Unger, Robert
    Erschienen: March 2017
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 622
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  20. Bank networks
    contagion, systemic risk and prudential policy
    Autor*in: Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester
    Erschienen: [2015]
    Verlag:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    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... mehr

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    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 matching algorithm. We compare three alternative matching algorithms: maximum entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the contribution of systemic risk by means of Shapley values. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/170625
    Schriftenreihe: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 28 (July 2015)
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  21. Syndicated loans and CDS positioning
    Autor*in: Aldasoro, Iñaki; Barth, Andreas
    Erschienen: December 2017
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 679
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  22. Less aid proliferation and more donor coordination?
    The wide gap between words and deeds
    Autor*in: Aldasoro, Iñaki; Nunnenkamp, Peter; Thiele, Rainer
    Erschienen: 2009
    Verlag:  Kiel Inst. for the World Economy, Kiel

    We present a two-step approach of assessing whether major donors of foreign aid have met recent demands for less proliferated and better coordinated aid efforts. First, we calculate Theil indices revealing the concentration of each donor's aid on... mehr

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    We present a two-step approach of assessing whether major donors of foreign aid have met recent demands for less proliferated and better coordinated aid efforts. First, we calculate Theil indices revealing the concentration of each donor's aid on recipient countries and specific aid sectors. Second, we map overlaps of aid from different donors and over time to analyze the degree of coordination. Our results point to a wide and persistent gap between the rhetoric of political declarations and the donors' actual aid allocation during the period 1995-2006. Few donors have specialized on a limited set of recipients and aid sectors, and coordination has remained elusive. -- Aid allocation ; sector-specific commitments ; Theil index ; donor coordination ; overlaps

     
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    Weitere Identifier:
    hdl: 10419/28344
    Schriftenreihe: Kiel working paper ; 1516
    Schlagworte: Entwicklungshilfe; Internationale Finanzhilfe; Entwicklungshilfe; Internationale Zusammenarbeit; OECD-Staaten-seitig; Schätzung; Welt; Entwicklungsländer; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 23 S.), graph. Darst.
  23. Input-output-based measures of systemic importance
    Autor*in: Aldasoro, Iñaki; Angeloni, Ignazio
    Erschienen: 2013
    Verlag:  SAFE, Frankfurt am Main

    The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we show how classic input-output... mehr

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    The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we show how classic input-output analysis can be applied to banking and how to derive six indicators that capture different aspects of systemic importance, using a simple numerical example for illustration. We also discuss the relationship with other approaches, most notably network centrality measures, both formally and by means of a simulated network.

     
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    hdl: 10419/88709
    Auflage/Ausgabe: This draft: August 2013
    Schriftenreihe: SAFE working paper series ; 29
    SAFE Working Paper ; No. 29
    Umfang: Online-Ressource (37 S.), graph. Darst.
  24. Systemic loops and liquidity regulation
    Autor*in: Aldasoro, Iñaki; Faia, Ester
    Erschienen: 2015
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; 10918
    Schlagworte: Ansteckungseffekt; Bankrisiko; Bankenkrise; Momentenmethode; Entropie; Bankenliquidität; Theorie
    Umfang: 37 S., graph. Darst.
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  25. The impact of artificial intelligence on output and inflation
    Autor*in: Aldasoro, Iñaki; Dörr, Sebastian; Gambacorta, Leonardo; Rees, Daniel M.
    Erschienen: April 2024
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 1179
    Schlagworte: artificial intelligence; generative AI; inflation; output; productivity; monetary policy
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen