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ABBA: An Agent-Based Model of the Banking System

Author/Editor: Jorge A Chan-Lau.

Release Date:June, 2017

A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the more...



Price: $18.00
Variance Decomposition Networks : Potential Pitfalls and a Simple Solution

Author/Editor: Jorge A Chan-Lau.

Release Date:May, 2017

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their more...



Price: $18.00
Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis

Author/Editor: Jorge A Chan-Lau, Weimin Miao, Ken Miyajima, Jongsoon Shin.

Release Date:April, 2017

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia more...



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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Author/Editor: Jorge A. Chan-Lau, Estelle X. Liu, Jochen M. Schmittmann.

Release Date:July, 2012

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened more...



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Dynamic Loan Loss Provisioning : Simulations on Effectiveness and Guide to Implementation

Author/Editor: Torsten Wezel, Jorge A. Chan-Lau, Francesco Columba.

Release Date:May, 2012

This simulation-based paper investigates the impact of different methods of dynamic provisioning on bank soundness and shows that this increasingly popular macroprudential tool can smooth more...



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Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? A Study of the Chilean Banking System

Author/Editor: Jorge A. Chan-Lau.

Release Date:May, 2012

Dynamic provisions could help to enhance the solvency of individual banks and reduce procyclicality. Accomplishing these objectives depends on country-specific features of the banking system, more...



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Policy Instruments to Lean Against the Wind in Latin America

Author/Editor: G. Terrier, Rodrigo O. Valdes, Camilo Ernesto Tovar Mora, Jorge A. Chan-Lau, Carlos Fernandez Valdovinos, Mercedes Garcia-Escribano, Carlos I. Medeiros, Man-Keung Tang, Mercedes Vera Martin, W. Christopher Walker.

Release Date:July, 2011

This paper reviews policy tools that have been used and/or are available for policy makers in the region to lean against the wind and review relevant country experiences using them. The instruments more...



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Regulatory Capital Charges for Too-Connected-to-Fail Institutions : A Practical Proposal

Author/Editor: Jorge A. Chan-Lau.

Release Date:April, 2010

The recent financial crisis has highlighted once more that interconnectedness in the financial system is a major source of systemic risk. I suggest a practical way to levy regulatory capital charges more...



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Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems

Author/Editor: Jorge A. Chan-Lau.

Release Date:April, 2010

The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, more...



Price: $18.00
The Global Financial Crisis and its Impact on the Chilean Banking System

Author/Editor: Jorge A. Chan-Lau.

Release Date:April, 2010

This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that could help strengthen work on vulnerability indicators and off-site supervision. more...



Price: $18.00
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