Download or read book Systemic Risk and Diversification Across European Banks and Insurers written by Jan Frederik Slijkerman and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based correlation concept, and propose an alternative measure which better captures the downside dependence given the fat tail property of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates versus large banks.
Download or read book Cross border Banking in Europe written by Franklin Allen and published by CEPR. This book was released on 2011 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report argues that policy reforms in micro- and macro-prudential regulation and macroeconomic policies are needed for Europe to reap the important diversification and efficiency benefits from cross-border banking, while reducing the risks stemming from large cross-border banks.Available online as pdf at: http: //www.cepr.org/pubs/books/CEPR/cross-border_banking.pd
Download or read book Bank Size and Systemic Risk written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2014-05-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.
Download or read book Risk Diversification by European Financial Conglomerates written by Jan Frederik Slijkerman and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Globalization And Systemic Risk written by Douglas D Evanoff and published by World Scientific. This book was released on 2009-01-05 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: The impact of globalization of financial markets is a highly debated topic, particularly in recent months when the issue of globalization and contagion of financial distress has become a focus of intense policy debate. The papers in this volume provide an up-to-date overview of the key issues in this debate. While most of the contributions were prepared after the initial outbreak of the current global turmoil and financial crisis, they identify the relative strengths of the risk diversification and risk transmission processes and examine the empirical evidence to date. The book considers the relative roles of banks, nonbank financial institutions and capital markets in both risk diversification and risk transmission. It then evaluates the current status of crisis resolution in a global context, and speculates where to go from here in terms of understanding, resolution, prevention and public policy.
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Download or read book Key Aspects of Macroprudential Policy Background Paper written by International Monetary Fund. Fiscal Affairs Dept. and published by International Monetary Fund. This book was released on 2013-10-06 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.
Download or read book The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises written by Lamont Black and published by . This book was released on 2017 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper designs a systemic risk measure for the European banking system as a hypothetical distress insurance premium (DIP), which integrates economically the main characteristics of systemic risk -- size, default probability, and interconnectedness. We further identify the individual contributions of 58 major European banks to the systemic risk measure. We find that the European banking systemic risk reached its height in late 2011 around €500 billion, and the sovereign default factor is the dominant driver for the European debt crisis. Our approach identifies a number of systemically important European banks, but smaller Italian and Spanish banks as groups have notably increased their systemic importance. Our findings provide support for the European-wide macroprudential regulation of banking systemic risk.
Download or read book Macroprudential Solvency Stress Testing of the Insurance Sector written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2014-07-22 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
Download or read book Banking Supervision at the Crossroads written by Thea Kuppens and published by Edward Elgar Publishing. This book was released on 2003-01-01 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book charts the consequences for banking supervision of two stylized developments that over the last decade have characterized the global financial landscape: the integration of cross-sector and cross-border financial services. Both developments inevitably call for a supervisory response and the authors discuss what form and direction this should take. They also address a number of other important subjects including the new Capital Accord (Basel 2), the convergence of supervisory practices, procyclicality, financial conglomerates, deposit insurance and a brief history of the interplay between banking supervision and bank behaviour. The important practical and theoretical issues highlighted in this volume clearly demonstrate that banking supervision currently stands at a crossroads. The detailed, objective discussions of these themes and the sensible conclusions drawn will undoubtedly help policymakers to decide which path to take. The original contributions from high-level practitioners and academics from around the world will also be of great interest to commercial bankers, and academics and researchers of banking, finance and monetary economics.
Download or read book Measuring Systemic Risk Adjusted Liquidity SRL written by Andreas Jobst and published by International Monetary Fund. This book was released on 2012-08-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.
Download or read book Cross Industry Product Diversification and Contagion in Risk and Return written by Elyas Elyasiani and published by . This book was released on 2014 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the impact of domestic and international bank-insurance deals on the risk-return profiles of bidding banks, peer banks and peer insurers within a GARCH framework. We find that both announcing and non-announcing firms experience positive abnormal returns with the effect on insurer peers being larger and more gradual. These results establish the prevalence of intra- and inter-industry contagion and stand in contrast with studies documenting negative and/or insignificant results for bidders. Abnormal returns on bidder banks vary with leverage, relative size of the deal, growth opportunities, extent of bidder's engagement in non-interest income activities, bidder-origin and bidder profitability. The overall risks of the bidders and peer firms decline following the bancassurance deals, with a larger component of the decline coming from idiosyncratic, rather than systematic risk. Risk and return contagion effects vary with the deal-size with larger deals demonstrating greater contagion. Our findings support the bancassurance phenomenon and the provision(s) of regulatory reforms, such as the Financial Services Modernization Act (1999).
Download or read book Financial Integration Specialization and Systemic Risk written by Falko Fecht and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich and published by University of Chicago Press. This book was released on 2013-01-24 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Download or read book Interconnectedness and Systemic Risk of European Banks Over the Recent Crises written by Carlo Bellavite Pellegrini and published by . This book was released on 2015 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial turmoil has stimulated a rich debate in the banking and financial literature on the identification of the determinants of systemic risk, as well as of devices to forecast and prevent crises. In this paper, we explore the contribution of corporate variables on the systemic risk in a CoVar approach, as recently proposed by Adrian and Brunnermeier (2010, 2011, 2014). Using a unique sample of 141 European banks belonging to 24 European countries, continuously listed from 2006Q1 to 2012Q4, we investigate the impact of corporate variables over several regimes that characterised the European context in recent years, namely the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2) and the sovereign debt crisis (2010Q3-2012Q4). There is evidence that size has not played a significant role in spreading systemic risk, the contrary holds true for maturity mismatch. However, the nature and the intensity of these two determinants vary across the three crises.
Download or read book Life Insurance Fact Book written by and published by . This book was released on 1959 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Belgium written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2018-03-08 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Technical Note discusses the results of the stress testing of Belgium’s banking and insurance sectors. Belgium’s financial sector remains resilient in the face of the rising cyclical vulnerabilities, but there is a need for closely monitoring risks. Stress tests on banks and insurance companies confirm that they can absorb credit, sovereign, and market losses in the event of a severe deterioration in macro-financial conditions. All banks meet minimum capital requirements and none needs to draw down its capital conservation buffer over the stress horizon. The risk of interbank contagion through direct exposures is low. Insurance companies are also generally resilient and losses incurred in the stress scenarios by those that belong to banking groups do not threaten the soundness of those groups.
