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  1. 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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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
  2. 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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    Verlag (kostenfrei)
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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
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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.

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289952835
    Other identifier:
    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
  3. Latent fragility
    conditioning banks' joint probability of default on the financial cycle
    Author: Bochmann, Paul; Hiebert, Paul; Schüler, Yves; Segoviano, Miguel
    Published: [2023]
    Publisher:  Systemic Risk Centre, The London School of Economics and Political Science, London

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SRC discussion paper ; no 124 (April 2023)
    Subjects: Systemic Risk; Financial Crises; Portfolio Credit Risk; Multivariate Density Optimization; Financial Cycle
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen