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  1. Interconnected banks and systemically important exposures
    Autor*in: Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; Halaj, Grzegorz; Kok Sørensen, Christoffer
    Erschienen: [2019]
    Verlag:  Bank of Canada, [Ottawa]

    We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect interconnectedness, via exposures to common asset classes. To this end, we analyze a unique supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of contagion, we apply a structural valuation model NEVA (Barucca et al., 2016a), in which common shocks to banks' external assets are reflected in a consistent way in the market value of banks' mutual liabilities through the network of obligations. We identify a strongly non-linear relationship between diversification of exposures, shock size, and losses due to interbank contagion. Moreover, the most systemically important sectors tend to be the households and the financial sectors of larger countries because of their size and position in the financial network. Finally, we provide policy insights into the potential impact of more diversified versus more domestic portfolio allocation strategies on the propagation of contagion, which are relevant to the policy discussion on the European Capital Market Union.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/210784
    Schriftenreihe: Staff working paper / Bank of Canada ; 2019, 44 (November 2019)
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Interbank asset-liability networks with fire sale management
    Autor*in: Feinstein, Zachary; Halaj, Grzegorz
    Erschienen: [2020]
    Verlag:  Bank of Canada, [Ottawa]

    Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks'... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the Global Financial Crisis. Post-crisis reforms addressed many of the causes of the problems. But contagion effects may not be fully eliminated. One reason for this may be related to financial institutions' incentives and strategic behaviours. We propose a model to study contagion effects in a banking system, capturing network effects of direct exposures and indirect effects of market behaviour that may impact asset valuation. By doing so, we can embed a well-established fire sale channel into our model. Unlike in related literature, we relax an assumption of an exogenous pecking order of how banks would sell their assets. Instead, banks act rationally in our model; they optimally construct a portfolio subject to budget constraints to raise cash to satisfy creditors (interbank and external). We assume that the guiding principle for banks is to maximize risk-adjusted returns generated by their balance sheets. We parameterize the theoretical model with confidential supervisory data for banks in Canada under the supervision of the Office of the Superintendent of Financial Institutions, which allows us to run simulations of bank valuations and asset prices under a set of stress scenarios.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241207
    Auflage/Ausgabe: Last updated: September 28, 2020
    Schriftenreihe: Staff working paper / Bank of Canada ; 2020, 41
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Stressed but not helpless
    strategic behavior of banks under adverse market conditions
    Autor*in: Halaj, Grzegorz; Priazhkina, Sofia
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback... mehr

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    Verlag (kostenfrei)
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of loan supply and demand, and deteriorating funding conditions. The framework allows us to study the role of strategic behaviors in amplifying or mitigating adverse macrofinancial shocks in a banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability (lending) and test whether the release of a countercyclical capital buffer can reduce systemic risk.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247415
    Auflage/Ausgabe: Last updated: July 19, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 35
    Schlagworte: Central bank research; Economic models; Financial institutions; Financial stability; Financial system regulation and policies
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen