 | Calibrating Macroprudential Policies in Europe Amid Rising Housing Market Vulnerability Author/Editor: Laura Valderrama. Release Date:March, 2023 Housing market developments are in the spotlight in Europe. Over-stretched valuations amid tightening financial conditions and a cost-of-living crisis have increased risks of a sustained downturn and more...
| Price: $20.00
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| European Housing Markets at a Turning Point – Risks, Household and Bank Vulnerabilities, and Policy Options Author/Editor: Laura Valderrama, Patrik Gorse, Marina Marinkov, Petia Topalova. Release Date:March, 2023 European housing markets are at a turning point as the cost-of-living crisis has eroded real incomes and the surge in interest rates has made borrowers more vulnerable to financial distress. This more...
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| Corporate Liquidity and Solvency in Europe during COVID-19: The Role of Policies Author/Editor: Christian H Ebeke, Nemanja Jovanovic, Laura Valderrama, Jing Zhou. Release Date:March, 2021 The spread of COVID-19, containment measures, and general uncertainty led to a sharp reduction in activity in the first half of 2020. Europe was hit particularly hard—the economic contraction in more...
| Price: $18.00
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| Stress Testing and Calibration of Macroprudential Policy Tools Author/Editor: Lucyna Gornicka, Laura Valderrama. Release Date:August, 2020 We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank more...
| Price: $18.00
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| Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity Author/Editor: Rama Cont, Artur Kotlicki, Laura Valderrama. Release Date:June, 2020 The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from more...
| Price: $18.00
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| Bank Solvency and Funding Cost : New Data and New Results Author/Editor: Stefan W Schmitz, Michael Sigmund, Laura Valderrama. Release Date:May, 2017 This paper presents new evidence on the empirical relationship between bank solvency and
funding costs. Building on a newly constructed dataset drawing on supervisory data for
54 large more...
| Price: $18.00
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| Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide Author/Editor: Nicolas R Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama. Release Date:July, 2013 There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The SysMo project takes stock of the current toolkit more...
| Price: $18.00
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| Systemic Risk and Asymmetric Responses in the Financial Industry Release Date:June, 2012 To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of more...
| Price: $20.00
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 | Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach Author/Editor: German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama. Release Date:February, 2012 In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding more...
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| Macroprudential Regulation Under Repo Funding Author/Editor: Laura Valderrama. Release Date:September, 2010 The use of collateral has become one of the most widespread risk mitigation techniques. While it brings stabilizing effects to the individual lender we argue that it may exacerbate systemic risk more...
| Price: $18.00
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