Central Bank Research Hub - Series: European Systemic Risk Board Working papers

Papers by year: All | 2018 | 2017 | 2016

Title Author(s)

Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment

Paper: 65, 30.01.2018

JEL: E43, E44, E52, G12, G14

Short-selling bans and bank stability

Paper: 64, 30.01.2018

JEL: G01, G12, G14, G18

Banks' maturity transformation:risk, reward, and policy

Paper: 63, 30.01.2018

JEL: E43, G21, G28

Positive liquidity spillovers from sovereign bond-backed securities

Paper: 67, 30.01.2018

JEL: C22, C53, C58, C63, E44, G12, G24

How effective are sovereign bond-backed securities as a spillover prevention device?

Paper: 66, 30.01.2018

JEL: C58, G11, G12, G17

ETF arbitrage under liquidity mismatch

Paper: 59, 04.12.2017

JEL: G12, G14, G23

Syndicated loans and CDS positioning

Paper: 58, 01.11.2017

JEL: G21, G28

Why are banks not recapitalized during crises?

Paper: 57, 01.11.2017

JEL: E44, F33, G21, G28

A macro approach to international bank resolution

Paper: 56, 01.11.2017

JEL: G01, G21, G28

Collateral scarcity premia in euro area repo markets

Paper: 55, 01.10.2017

JEL: E52, G12, G23

Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market

Paper: 54, 01.09.2017

JEL: G10, G23, L14

Two Big Distortions: Bank Incentives for Debt Financing

Paper: WP53, 01.08.2017

JEL: G21, G32, H25

Asset Encumbrance, Bank Funding and Fragility

Paper: WP52, 14.07.2017

JEL: G01, G21, G28

The missing links: A global study on uncovering financial network structures from partial data

Paper: WP51, 14.07.2017

JEL: C63, D85, G20, L14

Equity versus bail-in debt in banking: an agency perspective

Paper: WP50, 30.06.2017

JEL: G21, G28, G32

Wholesale funding dry-ups

Paper: WP49, 30.06.2017

JEL: G21

Banking integration and house price comovement

Paper: WP48, 15.06.2017

JEL: F65, G21, R30

The real effects of bank capital requirements

Paper: WP47, 15.06.2017

JEL: E51, G21, G28

Simulating fire-sales in a banking and shadow banking system

Paper: WP46, 09.06.2017

JEL: C63, D85, G21, G23

Use of unit root methods in early warning of financial crises

Paper: WP45, 09.06.2017

JEL: G01, G14, G21

Compressing over-the-counter markets

Paper: WP44, 02.05.2017

JEL: C61, D53, D85, G01, G10, G12

Coherent financial cycles for G-7 countries: Why extending credit can be an asset

Paper: WP43, 02.05.2017

JEL: C54, E32, E44, E58, G01

A dynamic theory of mutual fund runs and liquidity management

Paper: WP42, 03.04.2017

JEL: D92, G01, G21, G23, G32, G33

Financial frictions and the real economy

Paper: WP41, 03.04.2017

JEL: C15, E32, E44, G01

Mapping the interconnectedness between EU banks and shadow banking entities

Paper: WP40, 15.03.2017

JEL: F65, G21, G23

Decomposing financial (in)stability in emerging economies

Paper: WP39, 14.03.2017

JEL: E44, F65, G01, G15, G21, G23

Flight to liquidity and systemic bank runs

Paper: WP38, 10.03.2017

JEL: E44, E51, G20

SRISK: a conditional capital shortfall measure of systemic risk

Paper: WP37, 10.03.2017

JEL: C22, C23, C53, G01, G20

Credit conditions, macroprudential policy and house prices

Paper: WP36, 13.02.2017

JEL: E58, G21, G28, R31

Addressing the safety trilemma: a safe sovereign asset for the eurozone

Paper: WP35, 13.02.2017

JEL: F33, F34, G15, H63, H7

Resolution of international banks: can smaller countries cope?

Paper: WP34, 13.02.2017

JEL: F30, G21, G28

How does risk flow in the credit default swap market?

Paper: WP33, 22.12.2016

JEL: G10, G15

Financial contagion with spillover effects: a multiplex network approach

Paper: WP32, 21.12.2016

JEL: C63, D85, G01, G18

The (unintended?) consequences of the largest liquidity injection ever

Paper: WP31, 21.12.2016

JEL: E58, G21, G28, H63

Exposure to international crises: trade vs. financial contagion

Paper: WP30, 17.11.2016

JEL: E32, F40, F41, F44, H63

Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors

Paper: WP29, 14.11.2016

JEL: G01, G21, G28

Financial intermediation, resource allocation, and macroeconomic interdependence

Paper: WP28, 20.10.2016

JEL: E44, F32, F41, G15, G21

(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Paper: WP27, 20.10.2016

JEL: E44, G01, G18

Using elasticities to derive optimal bankruptcy exemptions

Paper: WP26, 20.10.2016

JEL: D14, D52, E21

Macroeconomic effects of secondary market trading

Paper: WP25, 19.09.2016

JEL: E32, E44, G01

Macroprudential policy with liquidity panics

Paper: WP24, 19.09.2016

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

Paper: WP23, 19.09.2016

JEL: G23

Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment

Paper: WP22, 19.09.2016

JEL: G01, G21, G24, G28

ESBies: Safety in the tranches

Paper: WP21, 19.09.2016

JEL: E44, G01, G28

Multiplex interbank networks and systemic importance An application to European data

Paper: WP20, 08.08.2016

JEL: C67, D85, G21

Strategic complementarity in banks funding liquidity choices and financial stability

Paper: WP19, 25.07.2016

JEL: G20, G21, G28

Assessing the costs and benefits of capital-based macroprudential policy

Paper: WP17, 12.07.2016

JEL: G01, G21, G28

Bank recapitalizations and lending: A little is not enough

Paper: WP16, 28.06.2016

JEL: G21, G28

Credit default swap spreads and systemic financial risk

Paper: WP15, 28.06.2016

Catering to investors through product complexity

Paper: WP14, 28.06.2016

JEL: D12, D18, G1, I22

Papers by year: All | 2018 | 2017 | 2016