ERN: Other Monetary Economics: International Financial Flows最新文献

On the Interaction between Monetary and Macroprudential Policies 论货币政策与宏观审慎政策的互动关系

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3797147

Alberto Martín, Caterina Mendicino, Alejandro Van der Ghote

引用次数: 14

Bank Failures: Review and Comparison of Prediction Models 银行倒闭:预测模型的回顾与比较

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2020-10-20 DOI: 10.2139/ssrn.3719997

A. Citterio

引用次数: 5

Macroprudential Policy with Capital Buffers 具有资本缓冲的宏观审慎政策

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2019-02-22 DOI: 10.2139/ssrn.3779302

Josef Schroth

引用次数: 15

Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum 金融体系中的系统性风险:英国脱欧、美国大选和意大利公投下的资本短缺

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2018-12-11 DOI: 10.21314/JCR.2018.247

R. Engle, Cristiano Zazzara

{"title":"Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum","authors":"R. Engle, Cristiano Zazzara","doi":"10.21314/JCR.2018.247","DOIUrl":"https://doi.org/10.21314/JCR.2018.247","url":null,"abstract":"Recent episodes of stress in the financial system have fostered a great deal of discussion regarding new supervisory and regulatory tools for financial institutions. The recent introduction of additional capital requirements for systemically important financial institutions is one example of the concrete measures that are being taken by regulators to mitigate systemic risk. In order to assist market participants in assessing and tracking systemic risk in the financial system, the Volatility Laboratory of the NYU Stern School of Business developed a quantitative indicator, called SRISK, which estimates the expected capital shortfall faced by a firm in a potential future financial crisis. Conceptually, SRISK is similar to the stress tests that are regularly applied to financial institutions; however, it is based exclusively on publicly available information (market and accounting data) and is quick and inexpensive to compute. Those firms with a high capital shortfall in a crisis – that is, when capital is low in the financial system – are the ones with the potential to extend the crisis and impact the broader economy. We use SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum. We refer to these events collectively as BRUMPIT. Our empirical results confirm the usefulness of SRISK in assessing the sensitivity of individual financial institutions to the BRUMPIT events. This highlights the transmission channels in terms of systemic risk.","PeriodicalId":351643,"journal":{"name":"ERN: Other Monetary Economics: International Financial Flows","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114357374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Brother, Can You Spare a Dollar? Designing an Effective Framework for Foreign Currency Liquidity Assistance 兄弟，你能给我一块钱吗?设计有效的外汇流动性援助框架

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2017-04-20 DOI: 10.7916/D8-W0HE-GC60

Dan Awrey

{"title":"Brother, Can You Spare a Dollar? Designing an Effective Framework for Foreign Currency Liquidity Assistance","authors":"Dan Awrey","doi":"10.7916/D8-W0HE-GC60","DOIUrl":"https://doi.org/10.7916/D8-W0HE-GC60","url":null,"abstract":"The core principles of financial crisis management call upon central banks to lend freely, against good quality collateral, and at a penalty rate of interest, to solvent but illiquid banks and other financial institutions. While often taken for granted, these principles were designed for a world in which central banks have the capacity to create money denominated in the domestic currency, and where banks and other financial institutions issue deposits and other short-term liabilities denominated in the same currency. \u0000Unfortunately, this is not the world in which we live. The application of these principles is far from straightforward where financial institutions rely on short-term foreign currency liabilities as a source of financing. This is the world of the Eurodollar market. The global financial crisis vividly illustrated the potential systemic risks arising from the existence of a large Eurodollar market. Faced with a systemic foreign currency liquidity crisis, central banks struggled to secure access to the foreign currency reserves needed to provide emergency liquidity assistance to their domestic banking systems. In response, the U.S. Federal Reserve and other major central banks established a network of swap lines with the objective of providing foreign currency liquidity assistance to the international financial system. \u0000The central bank swap lines have been hailed as one of the most important and effective policy responses to the financial crisis. However, while it may be tempting to view them as an effective prophylactic against future foreign currency liquidity crises, the current structure of the swap lines fails to establish truly credible international commitments or constrain the moral hazard problems stemming from this ambitious form of state-sponsored liquidity insurance. This paper examines the unique policy challenges posed by foreign currency liquidity problems, along with how to build a more effective framework for the provision of foreign currency liquidity assistance.","PeriodicalId":351643,"journal":{"name":"ERN: Other Monetary Economics: International Financial Flows","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122911017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7

The Repo Market, Collateral and Systemic Risk: In Search of Regulatory Coherence 回购市场、抵押品和系统性风险:寻求监管一致性

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2016-10-26 DOI: 10.4337/9781785362637.00011

Jay Cullen

引用次数: 3

Post-Contractual Duties of Financial Institutions Regarding Wealth Management Products 金融机构对理财产品的合同后责任

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2016-09-30 DOI: 10.2139/ssrn.2920444

Christopher C. Chen

引用次数: 0

Is There an 'Interest Rate - Speculation' Relationship? Evidence from G7 in the Pre- and Post-2008 Crisis 是否存在“利率-投机”关系?来自G7在2008年危机前后的证据

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2016-08-30 DOI: 10.2139/ssrn.2832513

Kui-wai Li

引用次数: 1

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk? 操作风险的先进度量方法是否应该被标准化度量方法所取代?

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2016-07-01 DOI: 10.21314/JOP.2016.177

G. Peters, P. Shevchenko, Bertrand K. Hassani, Ariane Chapelle

引用次数: 31

How to Turn Uncertainties of Operational Risk Capital into Opportunities from a Risk Management Perspective 如何从风险管理的角度将操作风险资本的不确定性转化为机遇

ERN: Other Monetary Economics: International Financial Flows Pub Date : 2016-06-27 DOI: 10.21314/JOP.2016.175

Philippe P. Meunier, A. Bakker

{"title":"How to Turn Uncertainties of Operational Risk Capital into Opportunities from a Risk Management Perspective","authors":"Philippe P. Meunier, A. Bakker","doi":"10.21314/JOP.2016.175","DOIUrl":"https://doi.org/10.21314/JOP.2016.175","url":null,"abstract":"The supervisory guidelines for the Basel Committee on Banking Supervision's Advanced Measurement Approaches require the uncertainty of operational risk capital to be acknowledged by financial institutions. The estimated capital charge is inherently uncertain due to the heaviness and scarcity of operational risk losses in the tail region. Beyond the regulatory requirements, we build on this sound quantitative information to provide the bank with relevant business applications: a hybrid capital model with balanced weighting between backward-looking and forward-looking risk information; scenario bias mitigation; and managing future capital-based risk appetite limits for scenario topics. Making businesses sensitive to the sources of capital uncertainty will help reduce inherent uncertainty by identifying ways to develop scenario analysis coverage in line with the internal and external business environment assessment outcomes. Looking at capital uncertainty from a scenario topic perspective is really sensible and appealing. Transparency on capital uncertainty within the business helps to manage expectation on model noise against what remains actionable.","PeriodicalId":351643,"journal":{"name":"ERN: Other Monetary Economics: International Financial Flows","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131295116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1