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Interbank Networks and Backdoor Bailouts: Benefiting from other Banks' Government Guarantees
(2018-05-02)
This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees they can significantly increase their expected returns by channeling funds ...
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...
The Limits of Model-Based Regulation
(2014-11-30)
In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of financial institutions. Model-based regulation was meant to enhance the stability of the financial sector ...
Regulatory Influence on Market Conditions in the Banking Union
(2015-06-02)
This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a ...
Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks
(2015-11-01)
The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. ...
Social Centralization, Bank Integration and the Transmission of Lending Shocks
(2017-08-01)
We introduce an innovative approach to measure bank integration, based on the corporate culture of multinational banking conglomerates. The new measure, the Power Index, assesses the prevalence of a language of power and ...
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders
(2017-08-01)
We investigate how solvency and wholesale funding shocks to 84 OECD parent banks affect the lending of 375 foreign subsidiaries. We find that parent solvency shocks are more important than wholesale funding shocks for ...
Too Complex to Work: A Critical Assessment of the Bail-in Tool under the European Bank Recovery and Resolution Regime
(2018-02-06)
This paper analyzes the bail-in tool under the BRRD and predicts that it will not reach its policy objective. To make this argument, this paper first describes the policy rationale that calls for mandatory private sector ...
Why MREL Won't Help Much
(2018-01-28)
The bail-in tool as implemented in the European bank resolution framework suffers from severe shortcomings. To some extent, the regulatory framework can remove the impediments to the desirable incentive effect of private ...
Markit
Markit Ltd. was a British financial information and services company with over 4,000 employees, founded in 2003 as an independent source of credit derivative pricing. The company provides independent data, trade processing ...