Solvency vs. liquidity. A decomposition of European banks' credit risk over the business cycle
Tài liệu tham khảo
Acharya V, Pedersen L, Philippon T, Richardson M. Measuring systemic risk. Unpublished manuscript; 2010.
Acharya, 2013, Securitization without risk transfer, J Financial Econ, 107, 515, 10.1016/j.jfineco.2012.09.004
Adrian T, Brunnermeier M. CoVaR. Federal Reserve Bank of New York Staff Report (348); 2010.
Adrian, 2010, Liquidity and leverage, J Financial Intermediation, 19, 10.1016/j.jfi.2008.12.002
Adrian T, Shin HS. Procyclical leverage and value-at-risk. Rev Financial Stud. 10.1093/rfs/hht068, forthcoming.
Alessi, 2011, Quasi real time early warning indicators for costly asset price boom/bust cycles, Eur J Political Econ, 27, 520, 10.1016/j.ejpoleco.2011.01.003
Ayadi R, Arbak E, De Groen WP. Business models in European banking. A pre- and post-crisis screening. Center for European Policy Studies; 2011.
Baglioni A, Beccalli E, Boitani A, Monticini A. Is the leverage of European banks procyclical? Empirical Econ; November 2012.
Bertay AC, Demirguc-Kunt A, Huizinga H. Bank ownership and credit over the business cycle: is lending by state banks less procyclical? World Bank Working Paper (6110).
BoE. Financial Stability Report. Bank of England, 2011, December.
Borio C, Drehmann M. Assessing the risk of banking crisis—revisited. BIS Q Rev; 2009, March.
Brunnermeier, 2009, Deciphering the liquidity and credit crunch 2007–2008, J Econ Perspect, 23, 77, 10.1257/jep.23.1.77
Brunnermeier M, Krishnamurthy A, Gorton G. Risk Topography. NBER Macroeconomics Annual; 2011.
Carlsson, 1993, Global games and equilibrium selection, Econometrica, 61, 989, 10.2307/2951491
CGFS. A survey of stress tests and current practice at major financial institutions. Technical report, Bank of International Settlements, 2001.
CGFS. The role of margin requirements and haircuts in procyclicality (36), 2010.
Cifuentes, 2005, Liquidity risk and contagion, J Eur Econ Assoc, 3, 556, 10.1162/jeea.2005.3.2-3.556
Damar, 2013, Leverage, Balance sheet size and wholesale funding, J Financial Intermediation, 22, 639, 10.1016/j.jfi.2013.07.002
Davis, 2008, Comparing early warning systems for banking crises, J Financial Stability, 4, 89, 10.1016/j.jfs.2007.12.004
Duprey, T. Bank ownership and credit cycle: the lower sensitivity of public bank lending to the business cycle. Banque de France Working paper (411), 2012.
Elsinger, 2006, Risk assessment for banking systems, Manage Sci, 52, 1301, 10.1287/mnsc.1060.0531
Espinosa R, Segoviano M. Probabilities of default and the market price of risk in a distressed economy. IMF Working Paper (175), 2011.
Gauthier C, He Z, Souissi M. Understanding systemic risk: the trade-offs between capital, short-term funding and liquid assets holdings. Bank of Canada Working Paper (29), 2010.
Geanakoplos, J. The leverage cycle. NBER macroeconomics annual 2009; 2009.
Gorton, 2010, Haircuts, Fed Reserve Bank of St. Louis Rev, 92, 507
Gorton, 2012, Securitized banking and the run on repo, J Financial Econ, 104, 425, 10.1016/j.jfineco.2011.03.016
Grey, 2010, New framework for measuring and managing macrofinancial risk and financial stability, Financial Stability Monetary Policy Central Banking, 15
Huang, 2011, The dark side of bank wholesale funding, J Financial Intermediation, 20, 248, 10.1016/j.jfi.2010.06.003
Huang X, Zhou H, Zhu H. A framework for assessing the systemic risk of major financial institutions. BIS Working Papers (281), 2009.
Janicki, 2006, Changes in the size distribution of U.S. banks, Econ Q, 92
Mariathasan, 2012, Recapitalization, credit, and liquidity, Econ Policy, 27, 603, 10.1111/j.1468-0327.2012.00293.x
Morris, 2003
Morris S, Shin HS. Illiquidity component of credit risk. Unpublished manuscript, 2009.
Rochet, 1996, Interbank lending and systemic risk, J Money Credit Banking, 28, 10.2307/2077918
Shin, 2009, Reflections on Northern Rock, J Econ Perspect, 23, 101, 10.1257/jep.23.1.101
Sorge, M. Stress-testing financial systems: an overview of current methodologies. BIS Working Paper (165), 2004.
Vayanos, 2010, A model of financial market liquidity based on intermediary capital, J Eur Econ Assoc Pap Proc, 8, 456
Vuillemey G. Epistemological foundations for the assessment of risks in banking and finance. J Econ Methodol, forthcoming.