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  1. Modeling systemic risk with Markov switching graphical SUR models
    Author: Bianchi, Daniele; Billio, Monica; Casarin, Roberto; Guidolin, Massimo
    Published: [2018]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Language: English
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    Edition: This version: July, 2018
    Series: Working paper series / IGIER ; n. 626
    Subjects: Markov Regime-Switching; Weighted Eigenvector Centrality; Graphical Models; MCMC; Systemic Risk; Network Connectivity
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  2. Systematic systemic stress tests
    Author: Breuer, Thomas; Summer, Martin
    Published: December 3, 2018
    Publisher:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

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    Series: Working paper / OeNB, Oesterreichische Nationalbank ; 225
    Subjects: Stress Testing; Risk Measures; Scenario Analysis; Systemic Risk
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  3. Life insurance convexity
    Author: Grochola, Nicolaus; Gründl, Helmut; Kubitza, Christian
    Published: [2023]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise... more

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    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we then estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per year. We show that these fire sales are fueled by surrender value guarantees and insurers' long-term investments.

     
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    Language: English
    Media type: Ebook
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    ISBN: 9789289961141
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    hdl: 10419/278661
    Series: Working paper series / European Central Bank ; no 2829
    Subjects: Life Insurance; Liquidity Risk; Interest Rates; Surrender Options; Systemic Risk
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  4. Margins, debt capacity, and systemic risk
    Author: Aramonte, Sirio; Schrimpf, Andreas; Shin, Hyun Song
    Published: September 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 1121
    Subjects: Financial Intermediation; Non-banks; Market-based Finance; Market Liquidity; Systemic Risk
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  5. Too-big-to-fail reforms and systemic risk
    Author: Furukawa, Kakuho; Ichiue, Hibiki; Kimura, Yugo; Shiraki, Noriyuki
    Published: [2021]
    Publisher:  Bank of Japan, Tokyo, Japan

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    Series: Bank of Japan working paper series ; no. 21, E-1 (February 2021)
    Subjects: Too Big to Fail; Systemic Risk; Financial Regulations; CoVaR; SRISK
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  6. Latent fragility: conditioning banks' joint probability of default on the financial cycle
    Author: Bochmann, Paul; Hiebert, Paul; Schüler, Yves; Segoviano, Miguel
    Published: [2023]
    Publisher:  [LSE Financial Markets Group], [London]

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    Series: SRC discussion paper ; no 124 (April 2023)
    [FMG discussion paper] ; [DP 870]
    Subjects: Systemic Risk; Financial Crises; Portfolio Credit Risk; Multivariate Density Optimization; Financial Cycle
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  7. On the use of artificial intelligence in financial regulations and the impact on financial stability
    Author: Daníelsson, Jón; Uthemann, Andreas
    Published: [2023]
    Publisher:  Systemic Risk Centre, The London School of Economics and Political Science, London

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    Series: SRC discussion paper ; no 125 (November 2023)
    Subjects: Artificial Intelligence; Systemic Risk; Financial Regulations; Central Banks
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  8. On the use of artificial intelligence in financial regulations and the impact on financial stability
    Author: Daníelsson, Jón; Uthemann, Andreas
    Published: [2023]
    Publisher:  [LSE Financial Markets Group], [London]

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    Series: SRC discussion paper ; no 125 (November 2023)
    [FMG discussion paper] ; [DP 891]
    Subjects: Artificial Intelligence; Systemic Risk; Financial Regulations; Central Banks
    Scope: 1 Online-Ressource (circa 26 Seiten)
  9. Conceptualizing "systemically important technological institutions’ as too big to fail entities
    moving the insolvency goal post
    Author: Mohan, M. P. Ram; Kolissetty, Sai Muralidhar
    Published: October 2023
    Publisher:  Indian Institute of Management Ahmedabad, [Ahmedabad]

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    Series: IIMA working paper ; W.P. no. 2023, 10-01
    Subjects: Big Tech; Too Big To Fail (TBTF); Systemic Risk; Systemically Important Technological Institutions (SITI)
    Scope: 1 Online-Ressource (circa 44 Seiten)
  10. Time and frequency dynamics of connectedness between green bonds, clean energy markets and carbon prices
    Author: Ringstad, Ingrid Emilie Flessum; Tselika, Kyriaki
    Published: 2023
    Publisher:  Norwegian School of Economics, Bergen, Norway

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    Other identifier:
    hdl: 11250/3100998
    Series: Discussion paper / Department of Business and Management Science ; FOR 2023, 18 (November 2023)
    Subjects: Green finance; Green Bonds; Energy Markets; Connectedness; Time-Frequency space; Systemic Risk; Portfolio Management
    Scope: 1 Online-Ressource (circa 54 Seiten)
  11. Risikoverbund zwischen Banken und Staaten
    eine empirische Analyse für den Euroraum
    Author: Nastansky, Andreas; Siris, Sarah
    Published: 2023
    Publisher:  Universität Potsdam, Potsdam

    Die Begrenzung systemischer Risiken ist essentieller Bestandteil der neuen internationalen Finanzmarktordnung. Dabei galt es nicht nur die Verflechtung der Banken untereinander, sondern auch die Verbindung zwischen den Staatsfinanzen und der Solvenz... more

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    Die Begrenzung systemischer Risiken ist essentieller Bestandteil der neuen internationalen Finanzmarktordnung. Dabei galt es nicht nur die Verflechtung der Banken untereinander, sondern auch die Verbindung zwischen den Staatsfinanzen und der Solvenz der nationalen Bankensysteme (dem sog. Risikoverbund zwischen Staat und Banken) zu durchbrechen. Der Beitrag beleuchtet die Entwicklung der Forderungen gegenüber Staaten in den Bankbilanzen der Euroländer und des Eurosystems im Zeitverlauf sowie den daraus erwachsenden Risiken für die Finanzstabilität. Hierzu werden die Determinanten des Risikoverbunds theoretisch wie empirisch analysiert. Die fiskalische Kapazität der Eurostaaten wird anhand verschiedener Faktoren wie der Verschuldungsquote, dem Leistungsbilanzsaldo und der Kredit-BIP Lücke aufgezeigt; anschließend werden die Strukturen der Bankensysteme im Euroraum untersucht. Im Einzelnen werden die private und staatliche Gesamtverschuldung, die konsolidierte Bankenbilanzsumme und die darin enthaltenen Verbindlichkeiten sowie der Anteil des Bankensektors an der Bruttowertschöpfung in Relation zur Wirtschaftsleistung betrachtet. Außerdem finden NPE-Bestände in den Bankbilanzen sowie die Renditen der emittierten Staatsanleihen und damit in Verbindung stehenden CDS-Spreads Betrachtung. Zusätzlich werden die Konzentration, der Verschuldungsgrad, Liquiditätsziffern sowie länderspezifische Unterschiede in Art und Fristigkeit der Refinanzierung der Bankensektoren abgebildet. Auf Basis der empirischen Befunde werden im Hinblick auf die wechselseitigen Ansteckungseffekte zwischen Banken und Staaten Implikationen für die Finanzmarktregulierung diskutiert. Limiting systemic risks is an essential part of the new international financial market regulation. The purpose was not only to break the interconnectedness of banks, but also to reduce the link between public finances and the solvency of national banking systems (the so-called sovereign-bank diabolic loop). This article examines the development of sovereign exposures in the bank balance sheets of the euro countries and the Eurosystem over time and the resulting risks to financial stability. To this end, the determinants of the risk network are analysed both theoretically and empirically. The fiscal capacity of the euro countries is checked on the basis of various factors such as the debt ratio, the current account balance and the credit-GDP gap; the structures of the banking systems in the euro area are then examined. Specifically, total private and public debt, the consolidated banking balance sheet total and the liabilities contained therein as well as the share of the banking sector in gross value added in relation to economic output are evaluated. NPE holdings in bank balance sheets as well as the yields on government bonds issued and the associated CDS spreads are also analysed. Moreover, concentration, leverage ratio, liquidity ratios and country-specific differences in the type and maturity of refinancing in the banking sectors are studied. Based on the empirical findings, implications for the financial market regulation are discussed with regard to the reciprocal contagion effects between banks and states.…

     
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    Language: German
    Media type: Book
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    Series: Statistische Diskussionsbeiträge ; Nr. 56
    Subjects: Banken; Fiskalische Kapazität; Staatsanleihen; Staatsverschuldung; Systemisches Risiko; Banking; Fiscal Capacity; Public Debt; Sovereign Exposure; Systemic Risk
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  12. Enhancing prudential standards in financial regulations
    Published: 2014
    Publisher:  Federal Reserve Bank of Philadelphia, Research Dep., Philadelphia, Pa.

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    Series: Working papers / Federal Reserve Bank of Philadelphia, Research Department ; 14,36
    Subjects: Financial Stability; Financial Regulations; Systemic Risk; Too Big To Fail; Stress Testing; Resolution Plan; Mortgage Finance
    Scope: Online-Ressource (25 S.), graph. Darst.
  13. Decentralized clearing in financial networks
    Author: Csóka, Péter; Herings, Peter Jean-Jacques
    Published: [2016]
    Publisher:  Graduate School of Business and Economics, Maastricht

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    Edition: RM/16/005-revised-
    Series: [Research memorandum] / Maastricht University, Graduate School of Business and Economics (GSBE) ; RM/16/037
    Subjects: Networks; Bankruptcy Problems; Systemic Risk; Decentralized Clearing; Indivisibilities
    Scope: 1 Online-Ressource (circa 36 Seiten
  14. Latent fragility
    conditioning banks' joint probability of default on the financial cycle
    Author: Bochmann, Paul; Hiebert, Paul; Schüler, Yves; Segoviano, Miguel
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries... more

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    We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unravelling of excess leverage can magnify banking sector distress. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises - particularly around their onset - suggesting scope to increase the precision with which macroprudential policies are calibrated.

     
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    ISBN: 9789289952835
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    hdl: 10419/269105
    Series: Working paper series / European Central Bank ; no 2698 (August 2022)
    Subjects: Systemic Risk; Financial Crises; Portfolio Credit Risk; Multivariate DensityOptimization; Financial Cycle
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  15. Measuring and stress-testing market-implied bank capital
    Author: Indergand, Martin; Jondeau, Eric; Fuster, Andreas
    Published: [2022]
    Publisher:  Swiss National Bank, Zurich

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    Series: SNB working papers ; 2022, 2
    Subjects: Banking; Capital; Stress Test; Systemic Risk; Multifactor Model
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  16. How macroeconomic conditions affect systemic risk in the short and long-run?
    Author: Kurter, Zeynep O.
    Published: [2022]
    Publisher:  University of Warwick, Department of Economics, Coventry, United Kingdom

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    Series: Warwick economics research papers ; no: 1407 (May 2022)
    Subjects: Systemic Risk; Value at Risk; Quantile Regression; DCC-GJRGARCH; ARDL; Banking Sector
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  17. Assessing structure-related systemic risk in advanced economies
    Author: O'Brien, Martin; Wosser, Michael
    Published: [2022]
    Publisher:  [Central Bank of Ireland], Dublin, Ireland

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    Series: Research technical paper / Central Bank of Ireland ; vol. 2022, no. 03
    Subjects: Systemic Risk; systemic banking crises; macroprudential policy; macrofinancial structure; macroprudential policy; financial stability
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  18. Banking crises and the Japanese legal framework
    Author: Tirado Martí, Ignacio
    Published: March 2017
    Publisher:  Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, Japan

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    Series: Array ; no. 2017, E-2
    Subjects: Bank Resolution; Financial Crisis; Preventive Corrective Action; General Bankruptcy Proceedings; Systemic Risk
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  19. Addressing systemic risk in Europe during Covid-19
    the role of regulation and the policy mix
    Author: Dotta, Vitor
    Published: April 2022
    Publisher:  Berlin School of Economics and Law, Institute for International Political Economy Berlin, Berlin

    This work examines the impacts which the Covid-19 pandemic brought to the stability of the European financial sector. Lockdowns, businesses unable to operate and uncertainty about how the pandemic would evolve fueled a sharp recession. From the... more

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    This work examines the impacts which the Covid-19 pandemic brought to the stability of the European financial sector. Lockdowns, businesses unable to operate and uncertainty about how the pandemic would evolve fueled a sharp recession. From the lessons learned in the global financial crises and the Eurozone debt crises, there's an increasing role of macroprudential policies, especially the regiments of the Basel III framework and the monetary policy toolkit. Alongside macroprudential regulation, the European Central Bank provided substantial monetary policy easing, for instance the release of capital buffers and other capital requirements, expanding the TLTRO III and Pandemic Emergency Program which facilitated monetary policy transmission. Authorities also deployed strong fiscal policies which encompassed from tax holidays to direct transfers to households and firms. The combination of fiscal, monetary, and regulatory policy was unprecedented and helped the economy during the shutdown moments. As a result, indicators of systemic risks in the banking sector during the pandemic remained relatively stable.

     
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    Series: Working paper / Institute for International Political Economy Berlin ; no. 181 (2022)
    Subjects: Systemic Risk; Covid-19 pandemic; banks; banking sector; Europe; Policy Mix; Monetary and Fiscal policy
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  20. Measuring and stress-testing market-implied bank capital
    Author: Indergand, Martin; Jondeau, Eric; Fuster, Andreas
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without... more

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    We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a severe market downturn is systematically distorted, underestimating the risk of banks with a low market capitalization. We argue that this adjusted measure of capital is the relevant market-implied capital measure for policy makers. We propose an econometric model for the combined simulation of equity and CDS prices, which allows us to introduce this correction in the SRISK framework for measuring systemic risk

     
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    Series: Research paper series / Swiss Finance Institute ; no 22, 11
    Subjects: Banking; Capital; Stress Test; Systemic Risk; Multifactor Model
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  21. ESG and systemic risk
    Author: Aevoae, George-Marian; Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? We document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-wide distress analysing... more

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    How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? We document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-wide distress analysing a panel of 367 publicly listed banks from 47 countries over the period 2007-2020. Stakeholder theory and theory relating social performance to expected returns in which enhanced investments in corporate social responsibility mitigate bank specific risks explain our findings. However, only better corporate governance represents a tool in reducing bank interconnectedness and maintaining financial stability. A similar relationship for banks’ exposure to systemic risk is also found. Our findings stress the importance of integrating banks’ ESG disclosure into regulatory authorities’ supervisory mechanisms as qualitative information

     
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    Series: Research paper series / Swiss Finance Institute ; no 22, 25
    Subjects: Systemic Risk; Financial Stability; Corporate Social Responsibility (CSR); Environmental Social and Governance (ESG) Scores
    Scope: 1 Online-Ressource (circa 22 Seiten)
  22. Life insurance convexity
    Author: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Published: March 2022
    Publisher:  ECONtribute, Bonn

    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender... more

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    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life insurance sector. Using a calibrated model, we estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per annum. The resulting price impact depends on insurers' investment behavior. Forced asset sales are amplified by insurers' long-term investments but mitigated by reducing the guarantees on surrender values.

     
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    hdl: 10419/262098
    Edition: This version: March 22, 2022
    Series: ECONtribute discussion paper ; no. 154
    Subjects: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  23. External Wealth of Nations and Systemic Risk
    Author: Andrieş, Alin Marius; Chiper, Alexandra-Maria; Ongena, Steven; Sprincean, Nicu
    Published: 2022
    Publisher:  SSRN, [S.l.]

    External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net... more

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    External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net international investment position (stock) imbalances still persist. In this paper, we explore the implications of countries’ net foreign positions on systemic risk. Using a sample composed of 450 banks located in 46 advanced, developing and emerging countries over the period 2000-2020, we document that banks can reduce their systemic risk exposure when the countries where they are incorporated maintain creditor positions vis-à-vis the rest of the world. However, only the equity components of the net international investment positions are responsible for this outcome, whereas debt flows do not contribute significantly. In addition, we find that the heterogeneity across countries is substantial and that only banks located in advanced markets that maintain their creditor positions have the potential to improve their resilience to system-wide shocks. Our findings are relevant for policy makers who seek to improve banks’ resilience to adverse shocks and to maintain financial stability

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Swiss Finance Institute Research Paper ; No. 22-74
    Subjects: External Wealth of Nations; External Imbalances; Net International Investment Position; Systemic Risk; Financial Stability
    Other subjects: Array
    Scope: 1 Online-Ressource (47 Seiten)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2022 erstellt
  24. Too Tech to Fail?
    Author: Abidi, Nordine; Miquel-Flores, Ixart
    Published: [2022]
    Publisher:  SSRN, [S.l.]

    Do the biggest tech companies have a bond funding edge? Are they the new ”Too-Big-to-Fail” (TBTF)? TBTF represents, among other things, the idea that the biggest firms (usually banks) receive an unfair funding advantage over smaller ones in the bond... more

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    Do the biggest tech companies have a bond funding edge? Are they the new ”Too-Big-to-Fail” (TBTF)? TBTF represents, among other things, the idea that the biggest firms (usually banks) receive an unfair funding advantage over smaller ones in the bond market. By investigating the tech financial world, our empirical work reveals two important findings. First, within the universe of bond-issuing U.S. firms, the largest tech companies did experience a funding advantage – of about 30bps. on average – from 2014 to 2021. Our estimates suggest that the (implicit) subsidy is in the range of 1 to 2 USD billion per year and that this has been steadily rising over the last years, especially during the Covid-19 period. Second, using a unique dataset of security-level portfolio holdings by sector in each euro area country, we investigate portfolio choices during times of financial distress. We find evidence of a sharp relative increase in portfolio holdings of BigTech securities during times of market turbulence suggesting that BigTech bonds act as safe assets. Overall, while the magnitudes of our estimates remain small from a macroeconomic perspective, we find that BigTech companies are slowly converging towards what we call the ”Too-Tech-to-Fail” (TTTF) paradigm. In other words, the unique position they have in the new economy, seems to artificially boost their credit profiles and lower their bond funding costs, potentially creating an uneven playing field

     
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    Language: English
    Media type: Book
    Format: Online
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    Series: European Banking Institute Working Paper Series 2022 - ; no. 124
    Subjects: Too Big to Fail; Too Tech to Fail; BigTech; Systemic Risk; Moral Hazard
    Scope: 1 Online-Ressource (53 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 22, 2022 erstellt
  25. Three essays on financial stability
    Author: Abendschein, Michael
    Published: September 2020

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    Universitätsbibliothek Osnabrück
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Financial Stability; Financial Regulation; Systemic Risk; Volatility Forecasting; Twitter; International Policy Cooperation; Impure Public Good
    Scope: 1 Online-Ressource (PDF-Datei: IX, 154 Blätter, 2,78 MB)
    Notes:

    Dissertation, Universität Osnabrück, 2020