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  1. Discriminatory pricing of over-the-counter derivatives
    Author: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    New regulatory data reveal extensive discriminatory pricing in the foreign exchange derivatives market, in which dealer-banks and their non-financial clients trade over-the-counter. After controlling for contract characteristics, dealer fixed... more

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    New regulatory data reveal extensive discriminatory pricing in the foreign exchange derivatives market, in which dealer-banks and their non-financial clients trade over-the-counter. After controlling for contract characteristics, dealer fixed effects, and market conditions, we find that the client at the 75th percentile of the spread distribution pays an average of 30 pips over the market mid-price, compared to competitive spreads of less than 2.5 pips paid by the bottom 25% of clients. Higher spreads are paid by less sophisticated clients. However, trades on multi-dealer request-for-quote platforms exhibit competitive spreads regardless of client sophistication, thereby eliminating discriminatory pricing.

     
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    ISBN: 9789295210486
    Other identifier:
    hdl: 10419/193568
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 61 (December 2017)
    Subjects: Währungsderivat; Währungsmanagement; Hedging; OTC-Handel; Preisdifferenzierung
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Discriminatory pricing of over-the-counter derivatives
    Author: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
    Published: December 16, 2017
    Publisher:  Swiss Finance Institute, [Geneva]

    For the first time, new regulatory data allow precise measurement of price discrimination against non-financial clients in the FX derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of... more

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    For the first time, new regulatory data allow precise measurement of price discrimination against non-financial clients in the FX derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays 10.9 pips more than blue-chip companies due to its lower level of sophistication, which compares with a sample average effective spread of 6.9 pips. However, price discrimination is fully eliminated when clients trade electronically on multi-dealer platforms. We also document that less sophisticated clients incur additional costs when trading with their relationship bank and in fast-moving markets, but only for bilaterally negotiated contracts

     
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    Series: Swiss Finance Institute research paper ; no. 17, 70
    Subjects: Währungsderivat; Währungsmanagement; Hedging; OTC-Handel; Preisdifferenzierung
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. Who bears interest rate risk?
    Author: Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; Vuillemey, Guillaume
    Published: [2018]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is... more

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    We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in interest rates have redistributive effects within the banking sector.

     
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    ISBN: 9789289932813
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    hdl: 10419/183358
    Series: Working paper series / European Central Bank ; no 2176 (September 2018)
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  4. ESBies
    safety in the tranches
    Author: Brunnermeier, Markus Konrad; Langfield, Sam; Pagano, Marco; Reis, Ricardo; Nieuwerburgh, Stijn van; Vayanos, Dimitri
    Published: [2016]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a union-wide safe asset without joint liability, would help to resolve these... more

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    The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a union-wide safe asset without joint liability, would help to resolve these problems. We make three contributions. First, numerical simulations show that ESBies would be at least as safe as German bunds and approximately double the supply of euro safe assets when protected by a 30%-thick junior tranche. Second, a model shows how, when and why the two features of ESBies - diversification and seniority - can weaken the diabolic loop and its diffusion across countries. Third, we propose a step-by-step guide on how to create ESBies, starting with limited issuance by public or private-sector entities.

     
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    Language: English
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    ISBN: 9789295081512
    Other identifier:
    hdl: 10419/193528
    Edition: This draft: September, 2016
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 21 (September 2016)
    Subjects: Eurobond; Öffentliche Anleihe; Eurozone; Bank; Portfolio-Management; Bankenregulierung; EU-Staaten
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  5. Indirect contagion
    the policy problem
    Author: 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
    Published: [2016]
    Publisher:  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... more

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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
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    hdl: 10419/193604
    Series: Occasional paper series / European Systemic Risk Board ; no 9 (January 2016)
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. Shedding light on dark markets
    first insights from the new EU-wide OTC derivatives dataset
    Author: Abad, Jorge; Aldasoro, Iñaki; Aymanns, Christoph; D'Errico, Marco; Rousová, Linda; Hoffmann, Peter; Langfield, Sam; Neychev, Martin; Roukny, Tarik
    Published: [2016]
    Publisher:  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... more

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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
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    hdl: 10419/193606
    Series: Occasional paper series / European Systemic Risk Board ; no 11 (September 2016)
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  7. Is Europe overbanked?
    Author: Pagano, Marco
    Published: [2014]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, [Frankfurt am Main]

    Banking has grown too much in Europe - in three senses. First, the European banking system has reached a size where its contribution to real economic growth is likely to be nil or negative. Second, the European financial structure is biased towards... more

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    Banking has grown too much in Europe - in three senses. First, the European banking system has reached a size where its contribution to real economic growth is likely to be nil or negative. Second, the European financial structure is biased towards banks (rather than securities markets), which results in excessively volatile credit creation and lower economic growth. Third, large universal banks - which perform a wide range of banking services, and are peculiarly common in Europe - contribute more to systemic risk than small and narrowly focused banks. To deal with these problems, policymakers should consider new measures such as aggressive anti-trust policy, structural reform of the banking sector, and a capital markets union to address Europe's overbanking problem.

     
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    Contributor: Langfield, Sam (MitwirkendeR)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/193614
    Corporations / Congresses:
    European Systemic Risk Board, Advisory Scientific Committee (VerfasserIn)
    Series: Reports of the Advisory Scientific Committee ; no. 4 (June 2014)
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  8. Allocating macro-prudential powers
    Author: Schoenmaker, Dirk; Gros, Daniel; Langfield, Sam; Pagano, Marco
    Published: [2014]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, [Frankfurt am Main]

    Monetary, macro-prudential and micro-prudential policies are intimately linked. The macroprudential authority should be allocated to the body where the overall balance of synergies (between policy objectives) over conflicts and the required expertise... more

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    Monetary, macro-prudential and micro-prudential policies are intimately linked. The macroprudential authority should be allocated to the body where the overall balance of synergies (between policy objectives) over conflicts and the required expertise are the largest. This report reviews the pros and cons of the four institutional models for the allocation of macro-prudential powers: (1) the government, (2) the central bank, (3) the financial authority and (4) a committee with representatives from these three bodies.

     
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    Other identifier:
    hdl: 10419/193615
    Series: Reports of the Advisory Scientific Committee ; no 5 (November 2014)
    Scope: 1 Online-Ressource (circa 20 Seiten)
  9. The structure and resilience of the European interbank market
    Author: Alves, Ivan; Ferrari, Stijn; Franchini, Pietro; Heam, Jean-Cyprien; Jurca, Pavol; Langfield, Sam; Laviola, Sebastiano; Liedorp, Franka; Sánchez, Antonio; Tavolaro, Santiago; Vuillemey, Guillaume
    Published: [2013]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, [Frankfurt am Main, Germany]

    Financial institutions are connected to each other by a series of bilateral transactions. In normal times, institutions' connections may result in efficient risk transfer. But in crises, connections can facilitate contagion - as initial problems lead... more

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    Financial institutions are connected to each other by a series of bilateral transactions. In normal times, institutions' connections may result in efficient risk transfer. But in crises, connections can facilitate contagion - as initial problems lead to chains of defaults and liquidity shortages - sparked by shocks which might arise within the financial system or from the real economy. Institutions are also interconnected in indirect ways, since they are exposed to common risk factors that can result in concurrent losses. For example, most banks extend loans secured by real estate: they are thus collectively exposed to falls in house prices. Resulting bank distress can then exacerbate initial problems: banks might simultaneously sell collateral (houses), thus worsening downward price spirals. Less tangibly, institutions can also be connected through perceptions of counterparties' creditworthiness. Given uncertainty, financial institutions may in general become reluctant to lend to each other and hoard liquidity. Potential for contagion due to interconnectedness is a key component of systemic risk. As a first step towards understanding the mechanisms of contagion, this paper abstracts from complex indirect connections between banks, and rather focuses on direct linkages between 53 large EU banks, based on unique data on interbank exposures collected by national regulators as of the end of 2011.

     
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    Language: English
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    Other identifier:
    hdl: 10419/193598
    Series: Occasional paper series / European Systemic Risk Board ; no. 3 (September 2013)
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  10. Systemic illiquidity in the interbank network
    Author: Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro
    Published: [2018]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the... more

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    We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a model in which systemic illiquidity propagates in the interbank funding network over multiple days. In this setting, systemic illiquidity is minimised by a macroprudential policy that skews the distribution of liquid assets towards banks that are important in the network.

     
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    ISBN: 9789294720542
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    hdl: 10419/193593
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 86 (November 2018)
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  11. Discriminatory pricing of over-the-counter derivatives
    Author: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than... more

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    New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients

     
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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9781498303774
    Other identifier:
    Series: IMF working paper ; WP/19, 100
    Subjects: Währungsderivat; Währungsmanagement; Hedging; OTC-Handel; Preisdifferenzierung
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  12. ESBies
    safety in the tranches
    Author: Brunnermeier, Markus Konrad; Langfield, Sam; Pagano, Marco; Reis, Ricardo; Nieuwerburgh, Stijn van; Vayanos, Dimitri
    Published: [2016]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2016, 27 (September 2016)
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  13. Discriminatory pricing of over-the-counter derivatives
    Author: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than... more

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    New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients

     
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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9781498303774
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    Series: IMF working paper ; WP/19, 100
    Subjects: Währungsderivat; Währungsmanagement; Hedging; OTC-Handel; Preisdifferenzierung
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  14. Bank ratings
    what determines their quality?
    Author: Hau, Harald; Langfield, Sam; Marqués Ibáñez, David
    Published: 2012
    Publisher:  Swiss Finance Inst., Genève

    This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on banks' expected default frequencies. Our results suggest that rating agencies assign more positive ratings to large banks and to those institutions more likely to provide the rating agency with additional securities rating business (as indicated by private structured credit origination activity). These competitive distortions are economically significant and help perpetuate the existence of "too-big-to-fail" banks. We also show that, overall, differential risk weights recommended by the Basel accords for investment grade banks bear no significant relationship to empirical default probabilities.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; 12,31
    Swiss Finance Institute Research Paper ; No. 12-31
    Subjects: Bank; Kreditwürdigkeit; Dienstleistungsqualität; Ratingagentur; USA; EU-Staaten; Interessenkonflikt; conflicts of interest
    Scope: Online-Ressource, graph. Darst.
  15. Mapping the UK interbank system
    Author: Langfield, Sam; Liu, Zijun; Ota, Tomohiro
    Published: 2014
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 198 (516)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 516
    Subjects: Interbank markets; core-periphery; intermediation; financial networks; market microstructure
    Scope: Online-Ressource (38 S.), graph. Darst.
  16. Bank bias in Europe
    effects on systemic risk and growth
    Author: Langfield, Sam; Pagano, Marco
    Published: 2015
    Publisher:  European Central Bank, Frankfurt am Main

    Location:
    Staats- und Universitätsbibliothek Bremen
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    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (1797)
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289916103
    Other identifier:
    hdl: 10419/154230
    QB-AR-15-037-EN-N
    Series: Working paper series / European Central Bank ; 1797
    Subjects: Bank; Finanzsystem; Kapitalstruktur; Systemrisiko; Bankenregulierung; EU-Staaten
    Scope: Online-Ressource (59 S.), graph. Darst.
  17. Bank ratings
    what determines their quality?
    Author: Hau, Harald; Langfield, Sam; Marqués Ibáñez, David
    Published: 2012
    Publisher:  European Central Bank, Frankfurt am Main

    Location:
    Staats- und Universitätsbibliothek Bremen
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    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (1484)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/153917
    Series: Working paper series / European Central Bank ; 1484
    Subjects: Bank; Kreditwürdigkeit; Dienstleistungsqualität; Ratingagentur; USA; EU-Staaten; Interessenkonflikt; conflicts of interest
    Scope: Online-Ressource (41 S.), graph. Darst.
  18. Bank ratings
    what determines their quality?
    Author: Hau, Harald; Langfield, Sam; Marqués Ibáñez, David
    Published: 2012
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (9171)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 9171
    Subjects: Bank; Kreditwürdigkeit; Dienstleistungsqualität; Ratingagentur; USA; EU-Staaten; Interessenkonflikt; conflicts of interest
    Scope: 34, [5] S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  19. ESBies
    safety in the tranches
    Author: Brunnermeier, Markus Konrad; Langfield, Sam; Pagano, Marco; Reis, Ricardo; Nieuwerburgh, Stijn van; Vayanos, Dimitri
    Published: 2016
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a union-wide safe asset without joint liability, would help to resolve these... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (537)
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    The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a union-wide safe asset without joint liability, would help to resolve these problems. We make three contributions. First, numerical simulations show that ESBies would be at least as safe as German bunds and approximately double the supply of euro safe assets when protected by a 30%-thick junior tranche. Second, a model shows how, when and why the two features of ESBies - diversification and seniority - can weaken the diabolic loop and its diffusion across countries. Third, we propose a step-by-step guide on how to create ESBies, starting with limited issuance by public or private-sector entities.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/146918
    Edition: This draft: September 18, 2016
    Series: CFS working paper series ; no. 537
    CFS Working Paper ; No. 537
    Subjects: Eurobond; Öffentliche Anleihe; Eurozone; Bank; Portfolio-Management; Bankenregulierung; EU-Staaten
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  20. Systemic illiquidity in the interbank network
    Author: Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro
    Published: April 2016
    Publisher:  Bank of England, [London]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 586
    Subjects: Systemic risk; liquidity regulation; macroprudential policy
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  21. ESBies
    safety in the tranches
    Author: Brunnermeier, Markus Konrad; Langfield, Sam; Pagano, Marco; Reis, Ricardo; Nieuwerburgh, Stijn van; Vayanos, Dimitri
    Published: 2016
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (11537)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 11537
    Subjects: Eurobond; Öffentliche Anleihe; Eurozone; Bank; Portfolio-Management; Bankenregulierung; EU-Staaten
    Scope: 51 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  22. Discriminatory pricing of over-the-counter derivatives
    Author: Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, Yannick
    Published: 21 December 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (12525)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12525
    Subjects: Währungsderivat; Währungsmanagement; Hedging; OTC-Handel; Preisdifferenzierung
    Scope: 39 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  23. Regulating the doom loop
    Author: Alogoskoufis, Spyros; Langfield, Sam
    Published: [2018]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform policy... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 611
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    Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform policy discussions, this paper simulates portfolio reallocations by euro area banks under scenarios for regulatory reform. Simulations highlight a tension in regulatory design between concentration and credit risk. An area-wide low-risk asset - created by pooling and tranching cross-border portfolios of government debt securities - would resolve this tension by expanding the portfolio opportunity set. Banks could therefore reinvest into an asset that has both low concentration and low credit risk.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294720412
    Other identifier:
    hdl: 10419/193581
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 74 (May 2018)
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  24. From the horse's mouth
    surveying responses to stress by banks and insurers
    Author: Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf
    Published: [2018]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 612
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    Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario. In a pilot application of these surveys, we find evidence of herding behaviour in the banking sector, notably concerning credit retrenchment. Results show that the consequences can be large, potentially undoing the initial effects of banks' remedial actions by worsening their solvency position. In contrast, insurers' responses to the survey provide little evidence of herding in response to macroeconomic stress. These results highlight the usefulness of macroprudential surveys in identifying feedback loops.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294720399
    Other identifier:
    hdl: 10419/193610
    Series: Occasional paper series / European Systemic Risk Board ; no 15 (April 2018)
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  25. Regulating the doom loop
    Author: Alogoskoufis, Spyros; Langfield, Sam
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 534
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    Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform. Simulations highlight a tension between concentration and credit risk in portfolio reallocation. Resolving this tension requires regulatory reform to be complemented by an expansion in the portfolio opportunity set to include an area-wide low-risk asset. By reinvesting into such an asset, banks would reduce both their concentration and credit risk exposure.

     
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289938822
    Other identifier:
    hdl: 10419/208347
    Series: Working paper series / European Central Bank ; no 2313 (September 2019)
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen