Systemic Risk in the European Banking System

2008 ◽  
Author(s):  
Andrea Cipollini
Keyword(s):  
Systemic Risk ◽  
Banking System ◽  
European Banking

scholarly journals Comparing Different Systemic Risk Measures for European Banking System

2018 ◽  
Vol 12 (1) ◽  
pp. 35 ◽  
Author(s):  
Annalisa Di Clemente
Keyword(s):  
Systemic Risk ◽  
Value At Risk ◽  
Financial Stability ◽  
Risk Measures ◽  
Banking System ◽  
Expected Shortfall ◽  
Conditional Value At Risk ◽  
Dependence Structure ◽  
European Banking ◽  
European Banks

This research examines and compares the performances in terms of systemic risk ranking for three different systemic risk metrics based on daily frequency publicly available data, specifically: Marginal Expected Shortfall (ES), Component Expected Shortfall (CES) and Delta Conditional Value-at-Risk (ΔCoVaR). We compute ΔCoVaR, MES and CES by utilizing EVT principles for modelling marginal distributions and Student’s t copula for describing the dependence structure between every bank and the banking system. Our objective is to attest whether different systemic risk metrics detect the same banks as systemically dangerous institutions with refer to a sample of European banks over the time span 2004-2015. For each bank in the sample we also calculate three traditional market risk measures, like Market VaR, Sharpe’s beta and the correlation between every bank and the banking system (European STOXX 600 Banks Index). Another aim is to explore the existence of a link among systemic risk measures and traditional risk metrics. In addition, the classification results obtained by the different risk metrics are compared with the ranking in terms of systemic riskiness (for European banks) calculated by Financial Stability Board (2015) using end-2014 data and collected in its list of Global Systemically Important Banks (G-SIBs). With refer to the entire sample period, we find a good coherence of ranking results among the three different systemic risk metrics, in particular between CES and ΔCoVaR. Moreover, we find for MES and ΔCoVaR a strong linkage with beta and correlation metrics respectively. Finally, CES metric shows the highest level of concordance with the list of G-SIBs by FSB with refer to European banks.

Same Story, Different Place?

2018 ◽  
Author(s):  
Viral V. Acharya ◽  
Tim Eisert ◽  
Christian Eufinger ◽  
Christian Hirsch
Keyword(s):  
Banking Sector ◽  
Debt Crisis ◽  
Banking System ◽  
Policy Implications ◽  
Balance Sheets ◽  
System P ◽  
Loan Supply ◽  
European Banking ◽  
European Debt Crisis

This chapter compares the recapitalizations of the Japanese banking sector in the 1990s with those in the ongoing European debt crisis. The analysis points to four main policy implications. First, recapitalizing banks by insuring or purchasing troubled assets alone is not likely to solve the problem of banks’ weak capitalization, as this measure is not able to adjust the extent of the recapitalization to the banks’ specific needs. Second, the amount of the recapitalization should be based on actual capital shortages and not risk-weighted assets to avoid banks decreasing their loan supply. Third, banks should face restrictions regarding the amount of dividends they are allowed to pay out. Finally, banks must be induced to clean up their balance sheets and reduce the amount of bad (non-performing) loans to rebuild confidence in the European banking system.

scholarly journals A Digital Currency Architecture for Privacy and Owner-Custodianship

2021 ◽  
Vol 13 (5) ◽  
pp. 130
Author(s):  
Geoffrey Goodell ◽  
Hazem Danny Al-Nakib ◽  
Paolo Tasca
Keyword(s):  
Systemic Risk ◽  
Banking System ◽  
Developed Countries ◽  
Fractional Reserve Banking ◽  
Point Of Sale ◽  
Digital Currency ◽  
Fractional Reserve ◽  
Banking Relationships ◽  
Reserve Banking ◽  
Payment Mechanisms

In recent years, electronic retail payment mechanisms, especially e-commerce and card payments at the point of sale, have increasingly replaced cash in many developed countries. As a result, societies are losing a critical public retail payment option, and retail consumers are losing important rights associated with using cash. To address this concern, we propose an approach to digital currency that would allow people without banking relationships to transact electronically and privately, including both e-commerce purchases and point-of-sale purchases that are required to be cashless. Our proposal introduces a government-backed, privately-operated digital currency infrastructure to ensure that every transaction is registered by a bank or money services business, and it relies upon non-custodial wallets backed by privacy-enhancing technology, such as blind signatures or zero-knowledge proofs, to ensure that transaction counterparties are not revealed. Our approach to digital currency can also facilitate more efficient and transparent clearing, settlement, and management of systemic risk. We argue that our system can restore and preserve the salient features of cash, including privacy, owner-custodianship, fungibility, and accessibility, while also preserving fractional reserve banking and the existing two-tiered banking system. We also show that it is possible to introduce regulation of digital currency transactions involving non-custodial wallets that unconditionally protect the privacy of end-users.

scholarly journals Systemic risk in the European sovereign and banking system

2016 ◽  
Vol 17 (4) ◽  
pp. 633-656 ◽  
Author(s):  
Simon Xu ◽  
Francis In ◽  
Catherine Forbes ◽  
Inchang Hwang
Keyword(s):  
Systemic Risk ◽  
Banking System

scholarly journals Competitive Advantages of Shadow Banking Industry: An Analysis Using Porter Diamond Model

2015 ◽  
Vol 6 (2) ◽  
pp. 15 ◽  
Author(s):  
Arash Riasi
Keyword(s):  
Systemic Risk ◽  
Banking Industry ◽  
Banking System ◽  
Firm Strategy ◽  
The Other ◽  
Shadow Banking ◽  
Competitive Advantages ◽  
Diamond Model ◽  
Shadow Banking System ◽  
Global Financial System

<p>This paper tries to find out why shadow banking system has become so competitive in the global financial system and how it can be controlled. For this reason we use Porter’s diamond model to find the competitive advantages of shadow banking. Based on the results of this study it can be concluded that factor conditions, chance and government do not contribute to the competitiveness of shadow banking industry. On the other hand the results suggested that related and supporting industries, firm strategy, structure and rivalry, and demand conditions contribute to the competitiveness of shadow banking industry. It is important to regulate the activities of shadow banking industry in order to prevent this industry from creating systemic risk.</p>

scholarly journals Crisis Management and Resolution for a European Banking System

2010 ◽  
Vol 2010 (070) ◽  
pp. 1
Author(s):  
Daniel Hardy ◽  
Luis Cortavarria-Checkley ◽  
Alessandro Giustiniani ◽  
Wim Fonteyne ◽  
Wouter Bossu ◽  
...  
Keyword(s):  
Crisis Management ◽  
Banking System ◽  
European Banking
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