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Nikola Tarashev

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Iñaki Aldasoro & Wenqian Huang & Nikola Tarashev, 2021. "Asset managers, market liquidity and bank regulation," BIS Working Papers 933, Bank for International Settlements.

    Cited by:

    1. Fauvrelle, Thiago & Riedel, Max & Skrutkowski, Mathias, 2024. "Collateral pledgeability and asset manager portfolio choices during redemption waves," SAFE Working Paper Series 417, Leibniz Institute for Financial Research SAFE.
    2. Aramonte, Sirio & Schrimpf, Andreas & Shin, Hyun Song, 2022. "Non-bank Financial Intermediaries and Financial Stability," CEPR Discussion Papers 16962, C.E.P.R. Discussion Papers.

  2. Juselius, Mikael & Tarashev, Nikola A., 2020. "Forecasting expected and unexpected losses," Bank of Finland Research Discussion Papers 18/2020, Bank of Finland.

    Cited by:

    1. Martin Birn & Renzo Corrias & Christian Schmieder & Nikola Tarashev, 2023. "Banks' credit loss forecasts: lessons from supervisory data," BIS Working Papers 1125, Bank for International Settlements.

  3. Iñaki Aldasoro & Ingo Fender & Bryan Hardy & Nikola Tarashev, 2020. "Effects of Covid-19 on the banking sector: the market's assessment," BIS Bulletins 12, Bank for International Settlements.

    Cited by:

    1. Frederic Boissay & Stijn Claessens & Alan Villegas, 2020. "Tools for managing banking distress: historical experience and lessons for today," BIS Quarterly Review, Bank for International Settlements, December.
    2. PINSHI, Christian P., 2020. "Arithmétique du Pass-through de la COVID 19 sur le Système financier Congolais [COVID-19 Pass-through Arithmetic on the Congolese Financial System]," MPRA Paper 101783, University Library of Munich, Germany.
    3. Sugandi, Eric Alexander, 2020. "Indonesia’s Financial Markets and Monetary Policy Dynamics Amid the Covid-19 Pandemic," ADBI Working Papers 1198, Asian Development Bank Institute.
    4. Armando Silva & Zbigniew Korzeb & Pawe? Niedzió?ka, 2021. "Impact of the COVID-19 crisis on the Portuguese banking system. Linear ordering method," Estudios Gerenciales, Universidad Icesi, vol. 37(159), pages 226-241, June.
    5. Duncan, Elizabeth & Horvath, Akos & Iercosan, Diana & Loudis, Bert & Maddrey, Alice & Martinez, Francis & Mooney, Timothy & Ranish, Ben & Wang, Ke & Warusawitharana, Missaka & Wix, Carlo, 2022. "COVID-19 as a stress test: Assessing the bank regulatory framework," Journal of Financial Stability, Elsevier, vol. 61(C).
    6. Bipasha Barua & Suborna Barua, 2021. "COVID-19 implications for banks: evidence from an emerging economy," SN Business & Economics, Springer, vol. 1(1), pages 1-28, January.
    7. Egemen Eren & Andreas Schrimpf & Vladyslav Sushko, 2020. "US dollar funding markets during the Covid-19 crisis - the money market fund turmoil," BIS Bulletins 14, Bank for International Settlements.
    8. Claudia Gabriela BAICU & Iuliana Petronela GÂRDAN & Daniel Adrian GÂRDAN & Daniel Constantin JIROVEANU, 2020. "Responsible Banking Practices During The Covid-19 Pandemic: Findings From Romania," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(22), pages 146-157.
    9. MALATA, Alain K. & PINSHI, Christian P., 2020. "Système financier et COVID-19 : Un examen de l’impact en RDC [Financial system and COVID-19: A review of the impact in the DRC]," MPRA Paper 107772, University Library of Munich, Germany.
    10. Iulia Cristina Iuga & Larisa-Loredana Dragolea, 2021. "Well-Being Impact on Banking Systems," JRFM, MDPI, vol. 14(3), pages 1-22, March.

  4. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis & Alan Villegas, 2017. "Bank business models: popularity and performance," BIS Working Papers 682, Bank for International Settlements.

    Cited by:

    1. Goel, Tirupam & Lewrick, Ulf & Mathur, Aakriti, 2021. "Does regulation only bite the less profitable? Evidence from the too-big-to-fail reforms," Bank of England working papers 946, Bank of England.
    2. Paul Ovidiu Handro, 2019. "Business Models and Banking Regulation Are Going Forward," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 168-178.
    3. Badunenko, Oleg & Kumbhakar, Subal C. & Lozano‐Vivas, Ana, 2021. "Achieving a sustainable cost-efficient business model in banking: The case of European commercial banks," European Journal of Operational Research, Elsevier, vol. 293(2), pages 773-785.
    4. Bustamante, José & Nivín, Rafael & Cuba, Walter, 2019. "Determinantes del crecimiento del crédito y el canal de préstamo bancario en el Perú: un análisis a nivel de préstamos," Revista Moneda, Banco Central de Reserva del Perú, issue 180, pages 24-28.
    5. Everett, Mary & McQuade, Peter & O’Grady, Michael, 2020. "Bank business models as a driver of cross-border activities," Journal of International Money and Finance, Elsevier, vol. 108(C).
    6. Carlos Cantú & Leonardo Gambacorta, 2019. "How do bank-specific characteristics affect lending? New evidence based on credit registry data from Latin America," BIS Working Papers 798, Bank for International Settlements.
    7. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    8. Elien Meuleman & Rudi Vander Vennet, 2020. "Macroprudential policy, monetary policy and Eurozone bank risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/1004, Ghent University, Faculty of Economics and Business Administration.
    9. Paltrinieri, Andrea & Dreassi, Alberto & Rossi, Simone & Khan, Ashraf, 2021. "Risk-adjusted profitability and stability of Islamic and conventional banks: Does revenue diversification matter?," Global Finance Journal, Elsevier, vol. 50(C).
    10. Matteo Farnè & Angelos T. Vouldis, 2020. "Does a bank's business model affect its capital and profitability?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    11. Carletti, Elena & Claessens, Stijn & Fatás, Antonio & Vives, Xavier (ed.), 2020. "Barcelona Report 2 - The Bank Business Model in the Post-Covid-19 World," Vox eBooks, Centre for Economic Policy Research, number p329.
    12. Diemo Dietrich & Achim Hauck, 2020. "Interbank borrowing and lending between financially constrained banks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 347-385, September.
    13. André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
    14. Matteo Farnè & Angelos T. Vouldis, 2021. "Banks’ business models in the euro area: a cluster analysis in high dimensions," Annals of Operations Research, Springer, vol. 305(1), pages 23-57, October.
    15. Giacomo Caterini & Edoardo Gaffeo & Lucio Gobbi, 2020. "How diverse are national banking systems? An analysis on banking business models, profitability, and riskiness," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    16. Murinde, Victor & Rizopoulos, Efthymios & Zachariadis, Markos, 2022. "The impact of the FinTech revolution on the future of banking: Opportunities and risks," International Review of Financial Analysis, Elsevier, vol. 81(C).
    17. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Financial Stability Review, Banco de España, issue Spring.
    18. Emilia Bonaccorsi di Patti & Francesco Palazzo, 2020. "Bank profitability and macroeconomic conditions: Are business models different?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    19. Iñaki Aldasoro & Wenqian Huang & Nikola Tarashev, 2021. "Asset managers, market liquidity and bank regulation," BIS Working Papers 933, Bank for International Settlements.
    20. Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2022. "Bank business models, failure risk and earnings opacity: A short- versus long-term perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    21. Cantú, Carlos & Lobato, Roberto & López, Calixto & López-Gallo, Fabrizio, 2022. "A loan-level analysis of financial resilience in Mexico," Journal of Banking & Finance, Elsevier, vol. 135(C).
    22. Farnè, Matteo & Vouldis, Angelos, 2024. "Do retail-oriented banks have less non-performing loans?," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    23. Bernardo P. Marques & Carlos F. Alves, 2020. "Using clustering ensemble to identify banking business models," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(2), pages 66-94, April.
    24. Gardó, Sándor & Klaus, Benjamin, 2020. "Overcapacities in banking: Measurement, trends and determinants," Economic Modelling, Elsevier, vol. 91(C), pages 819-834.
    25. Herzberg, Valerie & McQuade, Peter, 2018. "International bank flows and bank business models since the crisis," Financial Stability Notes 5/FS/18, Central Bank of Ireland.
    26. Hari Prasad Pathak, PhD, 2019. "Malmquist Productivity Index Approach in Assessing Performance of Commercial Banks: Evidence from Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 31(2), pages 1-25, October.
    27. José Bustamante & Walter Cuba & Rafael Nivin, 2019. "Determinants of credit growth and the bank-lending channel in Peru: A loan level analysis," BIS Working Papers 803, Bank for International Settlements.
    28. Bernardo P. Marques & Carlos F. Alves, 2024. "Heterogeneity of business models and banking sector resilience," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(3), pages 256-271, September.
    29. Avignone, Giuseppe & Girardone, Claudia & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2022. "Making a virtue out of necessity: the effect of negative interest rates on bank cost efficiency," Working Paper Series 2718, European Central Bank.
    30. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
    31. Carlos Cantú & Roberto Lobato & Calixto López & Fabrizio Lopez-Gallo, 2019. "A loan-level analysis of bank lending in Mexico," BIS Working Papers 802, Bank for International Settlements.
    32. Palmieri, Egidio & Ferilli, Greta Benedetta & Altunbas, Yener & Stefanelli, Valeria & Geretto, Enrico Fioravante, 2024. "Business model and ESG pillars: The impacts on banking default risk," International Review of Financial Analysis, Elsevier, vol. 91(C).
    33. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Revista de Estabilidad Financiera, Banco de España, issue Primavera.
    34. Igor Kravchuk & Viktoriia Stoika, 2021. "Business Μodels of Βanks for the Financial Markets in the EU," European Research Studies Journal, European Research Studies Journal, vol. 0(2B), pages 371-382.
    35. López-Penabad, Maria Celia & Iglesias-Casal, Ana & Silva Neto, José Fernando, 2022. "Effects of a negative interest rate policy in bank profitability and risk taking: Evidence from European banks," Research in International Business and Finance, Elsevier, vol. 60(C).

  5. Tirupam Goel & Ulf Lewrick & Agnė Nikola Tarashev, 2017. "Bank capital allocation under multiple constraints," BIS Working Papers 666, Bank for International Settlements.

    Cited by:

    1. Viral V. Acharya & Katharina Bergant & Matteo Crosignani & Tim Eisert & Fergal McCann, 2020. "The Anatomy of the Transmission of Macroprudential Policies," IMF Working Papers 2020/058, International Monetary Fund.
    2. Takino, Kazuhiro & Ishinagi, Yoshikazu, 2023. "Are banks risk-averse or risk-neutral investors?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    3. Martin Hodula & Zlatuše Komárková & Lukáš Pfeifer, 2021. "The relationship between capital and liquidity prudential instruments," Journal of Regulatory Economics, Springer, vol. 59(1), pages 47-70, February.
    4. Martynova, Natalya & Ratnovski, Lev & Vlahu, Razvan E., 2019. "Bank profitability, leverage constraints, and risk-taking," Discussion Papers 21/2019, Deutsche Bundesbank.
    5. Simona Malovaná & Dominika Ehrenbergerová, 2022. "The effect of higher capital requirements on bank lending: the capital surplus matters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 793-832, August.
    6. Ms. Deniz O Igan & Ali Mirzaei, 2020. "Does Going Tough on Banks Make the Going Get Tough? Bank Liquidity Regulations, Capital Requirements, and Sectoral Activity," IMF Working Papers 2020/103, International Monetary Fund.
    7. Xiong, Wanting & Wang, Yougui, 2022. "A reformulation of the bank lending channel under multiple prudential regulations," Economic Modelling, Elsevier, vol. 114(C).
    8. John Caparusso & Leonardo Ulf Lewrick & Nikola Tarashev, 2023. "Profitability, valuation and resilience of global banks - a tight link," BIS Working Papers 1144, Bank for International Settlements.
    9. Behn, Markus & Daminato, Claudio & Salleo, Carmelo, 2019. "A dynamic model of bank behaviour under multiple regulatory constraints," Working Paper Series 2233, European Central Bank.
    10. Kosenko, Konstantin & Michelson, Noam, 2022. "It takes more than two to tango: Multiple bank lending, asset commonality and risk," Journal of Financial Stability, Elsevier, vol. 61(C).
    11. Adrian, Tobias & Kiff, John & Shin, Hyun Song, 2018. "Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis," CEPR Discussion Papers 13350, C.E.P.R. Discussion Papers.

  6. Michael R King & Steven Ongena & Nikola Tarashev, 2016. "Bank standalone credit ratings," BIS Working Papers 542, Bank for International Settlements.

    Cited by:

    1. Patrycja Chodnicka-Jaworska, 2016. "Credit Ratings Inflation Phenomenon – Are There Any Diffrences in the Credit Ratings Determinants? (Zjawisko inflacji credit ratingow – czy wystepuja roznice w determinantach credit ratingow?)," Research Reports, University of Warsaw, Faculty of Management, vol. 2(22), pages 48-59.

  7. Nikola Tarashev & Anna Zabai, 2016. "When pegging ties your hands," BIS Working Papers 547, Bank for International Settlements.

    Cited by:

    1. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    2. Andrew W Lo, 2016. "Moore's Law vs. Murphy's Law in the financial system: who's winning?," BIS Working Papers 564, Bank for International Settlements.

  8. Giese, Julia & Nelson, Benjamin & Tanaka, Misa & Tarashev, Nikola, 2013. "Financial Stability Paper No 21: How could macroprudential policy affect financial system resilience and credit? Lessons from the literature," Bank of England Financial Stability Papers 21, Bank of England.

    Cited by:

    1. Melchisedek Joslem Ngambou Djatche, 2021. "Monetary policy, prudential policy and bank's risk-taking: a literature review," Post-Print halshs-03419263, HAL.
    2. Velauthapillai, Jeyakrishna, 2015. "Makroprudenzielle Regulierung – eine kurze Einführung und ein Überblick," EconStor Preprints 116781, ZBW - Leibniz Information Centre for Economics.
    3. Simona Malovana & Jan Frait, 2016. "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers 2016/06, Czech National Bank.
    4. Nelson, Benjamin & Tanaka, Misa, 2014. "Dealing with a banking crisis: what lessons can be learned from Japan’s experience?," Bank of England Quarterly Bulletin, Bank of England, vol. 54(1), pages 36-48.
    5. Noss, Joseph & Toffano, Priscilla, 2014. "Estimating the impact of changes in aggregate bank capital requirements during an upswing," Bank of England working papers 494, Bank of England.
    6. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Working Papers wp2019_1901, CEMFI.
    7. Krug, Sebastian, 2018. "The interaction between monetary and macroprudential policy: Should central banks 'lean against the wind' to foster macro-financial stability?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-69.
    8. Cristina Ruza & Marta de la Cuesta-González & Juandiego Paredes-Gazquez, 2019. "Banking system resilience: an empirical appraisal," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(6), pages 1241-1257, October.
    9. Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kapadia, Sujit & Şimşek, Özgür, 2023. "Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach," Journal of International Economics, Elsevier, vol. 145(C).
    10. János Kálmán, 2016. "Bank resolution as a new MNB function – resolution of MKB BankAdministrative law aspects of the macroprudential regulation and supervision of the financial intermediary system – normativity, organisat," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(3), pages 27-50.
    11. Marcin Jerzy Michalski & Michael Bowe & Olga Kolokolova, 2016. "Systemic risk, interbank market contagion, and the lender of last resort function," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    12. Krug, Sebastian, 2017. "The interaction between monetary and macroprudential policy: Should central banks "lean against the wind" to foster macro-financial stability?," Economics Discussion Papers 2017-85, Kiel Institute for the World Economy (IfW Kiel).
    13. McInerney, Niall, 2019. "Macroprudential Policy, Banking and the Real Estate Sector," MPRA Paper 91777, University Library of Munich, Germany.
    14. Noss, Joseph & Toffano, Priscilla, 2016. "Estimating the impact of changes in aggregate bank capital requirements on lending and growth during an upswing," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 15-27.
    15. Aikman, David & Nelson, Benjamin & Tanaka, Misa, 2012. "Reputation, risk-taking and macroprudential policy," Bank of England working papers 462, Bank of England.
    16. David Aikman & Mirta Galesic & Gerd Gigerenzer & Sujit Kapadia & Konstantinos Katsikopoulos & Amit Kothiyal & Emma Murphy & Tobias Neumann, 2021. "Taking uncertainty seriously: simplicity versus complexity in financial regulation [Uncertainty in macroeconomic policy-making: art or science?]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 30(2), pages 317-345.
    17. Harimohan, Rashmi & Nelson, Benjamin, 2014. "How might macroprudential capital policy affect credit conditions?," Bank of England Quarterly Bulletin, Bank of England, vol. 54(3), pages 287-303.
    18. Aikman, David & Galesic, Mirta & Gigerenzer, Gerd & Kapadia, Sujit & Katsikopoulos, Konstantinos & Kothiyal, Amit & Murphy, Emma & Neumann, Tobias, 2014. "Financial Stability Paper No 28: Taking uncertainty seriously - simplicity versus complexity in financial regulation," Bank of England Financial Stability Papers 28, Bank of England.

  9. Demosthenes N. Tambakis & Nikola Tarashev, 2012. "Systematic monetary policy and the forward premium puzzle," BIS Working Papers 396, Bank for International Settlements.

    Cited by:

    1. Park, Cheolbeom & Park, Sookyung, 2017. "Can monetary policy cause the uncovered interest parity puzzle?," Japan and the World Economy, Elsevier, vol. 41(C), pages 34-44.

  10. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.

    Cited by:

    1. Wang, Chao & Liu, Xiaoxing & Chen, Boyi & Li, Menyu, 2023. "Topological properties of reconstructed credit networks and banking systemic risk," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    2. Andreas Dombret, 2013. "Criteria for Financial Stability - -The European View," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 2, Edward Elgar Publishing.
    3. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
    4. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
    5. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    6. Iván Arribas & Jesús Peiró-Palomino & Emili Tortosa-Ausina, 2015. "Is full banking integration desirable?," Working Papers 2015/05, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. S Battiston & G di Iasio & L Infante & F Pierobon, 2015. "Capital and contagion in financial networks," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    8. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    9. Michal Skorepa & Jakub Seidler, 2014. "Capital Buffers Based on Banks' Domestic Systemic Importance: Selected Issues," Research and Policy Notes 2014/01, Czech National Bank.
    10. Fernando M. Duarte & Collin Jones, 2017. "Empirical network contagion for U.S. financial institutions," Staff Reports 826, Federal Reserve Bank of New York.
    11. Hai-Chuan Xu & Zhi-Yuan Wang & Fredj Jawadi & Wei-Xing Zhou, 2023. "Reconstruction of international energy trade networks with given marginal data: A comparative analysis," Post-Print hal-04454597, HAL.
    12. Inaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CESifo Working Paper Series 5182, CESifo.
    13. Giulio Cimini & Matteo Serri, 2016. "Entangling Credit and Funding Shocks in Interbank Markets," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-15, August.
    14. Dietmar Maringer & Ben Craig & Sandra Paterlini, 2022. "Constructing banking networks under decreasing costs of link formation," Computational Management Science, Springer, vol. 19(1), pages 41-64, January.
    15. Armstrong, Christopher & Nicoletti, Allison & Zhou, Frank S., 2022. "Executive stock options and systemic risk," Journal of Financial Economics, Elsevier, vol. 146(1), pages 256-276.
    16. Mateusz Mokrogulski, 2019. "Macroprudential policy in Poland," Proceedings of Economics and Finance Conferences 9511877, International Institute of Social and Economic Sciences.
    17. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2012. "Ranking systemically important financial institutions," Working Papers 15473, University of Tasmania, Tasmanian School of Business and Economics, revised 21 Nov 2012.
    18. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
    19. Andrievskaya, Irina, 2012. "Measuring systemic funding liquidity risk in the Russian banking system," BOFIT Discussion Papers 12/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    20. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak, 2015. "Monitoring Vulnerability and Impact Diffusion in Financial Networks," Working Papers Series 392, Central Bank of Brazil, Research Department.
    21. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
    22. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    23. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    24. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
    25. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
    26. Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
    27. Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2014. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 134-146.
    28. Stijn Claessens, 2015. "An Overview of Macroprudential Policy Tools," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 397-422, December.
    29. Iñaki Aldasoro & Anne-Caroline Hüser & Christoffer Kok Sørensen, 2020. "Contagion Accounting," BIS Working Papers 908, Bank for International Settlements.
    30. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    31. Christian Weistroffer, 2011. "Identifying Systemically Important Financial Institutions (SIFIs)," Working Papers id:4383, eSocialSciences.
    32. Sigbjørn Atle Berg, 2011. "Systemic surcharges and measures of systemic importance," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 19(4), pages 383-395, November.
    33. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
    34. Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
    35. Antzoulatos, Angelos A. & Tsoumas, Chris, 2014. "Institutions, moral hazard and expected government support of banks," Journal of Financial Stability, Elsevier, vol. 15(C), pages 161-171.
    36. Sum Katarzyna, 2015. "Basic Indicators of Systemic Risk in the EU Banking Sector. Implications for Banking Regulation," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 47(1), pages 36-55, September.
    37. Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
    38. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
    39. Tsoumas, Chris, 2017. "Bank defaults and spillover effects in US local banking markets," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 1-11.
    40. Cardillo, Giovanni & Onali, Enrico & Torluccio, Giuseppe, 2021. "Does gender diversity on banks' boards matter? Evidence from public bailouts," Journal of Corporate Finance, Elsevier, vol. 71(C).
    41. Laeven, Luc & Ratnovski, Lev & Tong, Hui, 2016. "Bank size, capital, and systemic risk: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 25-34.
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    3. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
    4. Franziska Bremus & Claudia M. Buch & Katheryn N. Russ & Monika Schnitzer, 2018. "Big Banks and Macroeconomic Outcomes: Theory and Cross‐Country Evidence of Granularity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1785-1825, December.
    5. Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
    6. Cortes, Fabio & Lindner, Peter & Malik, Sheheryar & Segoviano, Miguel, 2018. "A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)," LSE Research Online Documents on Economics 118928, London School of Economics and Political Science, LSE Library.
    7. Dungey, Mardi & Flavin, Thomas & O'Connor, Thomas & Wosser, Michael, 2022. "Non-financial corporations and systemic risk," Journal of Corporate Finance, Elsevier, vol. 72(C).
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    18. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
    19. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    20. Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
    21. Qi Zhang & Francesco Vallascas & Kevin Keasey & Charlie X. Cai, 2015. "Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1403-1442, October.
    22. Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
    23. Jan Frait & Zlatuse Komarkova, 2011. "Financial Stability, Systemic Risk and Macroprudential Policy," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 96-111, Czech National Bank.
    24. Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
    25. Her-Jiun Sheu & Chien-Ling Cheng, 2011. "Systemic risk in Taiwan stock market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(5), pages 895-914, August.
    26. Vaneet Bhatia & Sankarshan Basu & Subrata Kumar Mitra & Pradyumna Dash, 2018. "A review of bank efficiency and productivity," OPSEARCH, Springer;Operational Research Society of India, vol. 55(3), pages 557-600, November.
    27. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    28. Jakša Krišto & Alen Stojanović & Hrvoje Filipović, 2015. "Systemic risk of UCITS investment funds and financial market stability tested using MRS model," EFZG Working Papers Series 1508, Faculty of Economics and Business, University of Zagreb.
    29. Mauro Bernardi & Lea Petrella, 2015. "Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors," JRFM, MDPI, vol. 8(2), pages 1-29, April.
    30. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
    31. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Leibniz Institute for Financial Research SAFE.
    32. Bruno Martins & Ricardo Schechtman, 2013. "Too Rich to Let Me Fail?," Documentos de Investigación - Research Papers 13, CEMLA.
    33. Gastón Andrés Giordana & Ingmar Schumacher, 2017. "An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg," JRFM, MDPI, vol. 10(2), pages 1-21, April.
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    81. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    82. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
    83. International Monetary Fund, 2014. "Switzerland: Technical Note-Systemic Risk and Contagion Analysis," IMF Staff Country Reports 2014/268, International Monetary Fund.
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    85. Algieri, Bernardina & Leccadito, Arturo, 2017. "Wave after Wave: Contagion Risk from Commodity Markets," Discussion Papers 257801, University of Bonn, Center for Development Research (ZEF).
    86. Liao, Shuyu & Sojli, Elvira & Tham, Wing Wah, 2015. "Managing systemic risk in The Netherlands," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 231-245.
    87. Blaise Gadanecz & Kostas Tsatsaronis & Yener Altunbasb, 2012. "Spoilt and Lazy: The Impact of State Support on Bank Behavior in the International Loan Market," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 121-173, December.
    88. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
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    90. van den End, Jan Willem & Tabbae, Mostafa, 2012. "When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour," Journal of Financial Stability, Elsevier, vol. 8(2), pages 107-120.
    91. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    92. Kane, Edward J., 2012. "Missing elements in US financial reform: A Kübler-Ross interpretation of the inadequacy of the Dodd-Frank Act," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 654-661.
    93. Fei Sun & Yichuan Dong, 2020. "Complex risk statistics with scenario analysis," Papers 2003.09255, arXiv.org, revised Nov 2020.
    94. Alin-Marius Andries & Florentina Melnic & Simona Nistor, 2018. "Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(3), pages 202-244, July.
    95. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    96. Mainik Georg & Schaanning Eric, 2014. "On dependence consistency of CoVaRand some other systemic risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 49-77, March.
    97. Veni Arakelian & Shatha Qamhieh Hashem, 2020. "The Leaders, the Laggers, and the “Vulnerables”," Risks, MDPI, vol. 8(1), pages 1-32, March.
    98. Gabriele Galati & Richhild Moessner, 2013. "Macroprudential Policy – A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 846-878, December.
    99. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
    100. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.
    101. Katarzyna Sum, 2016. "A review of individual and systemic risk measures in terms of applicability for banking regulations," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
    102. Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    103. Günther, Susanne, 2013. "Eine ökonomische Analyse der Systemrelevanz von Banken," Arbeitspapiere 139, University of Münster, Institute for Cooperatives.
    104. VanHoose, David, 2011. "Systemic Risk and Macroprudential Bank Regulation: A Critical Appraisal," Journal of Financial Transformation, Capco Institute, vol. 33, pages 45-60.
    105. Iori, G. & Gurgone, A., 2019. "A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements," Working Papers 19/05, Department of Economics, City University London.
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    107. Lorenc, Amy G. & Zhang, Jeffery Y., 2020. "How bank size relates to the impact of bank stress on the real economy," Journal of Corporate Finance, Elsevier, vol. 62(C).
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  12. Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.

    Cited by:

    1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    2. Roberto Violi, 2010. "Credit ratings in structured finance and the role of systemic risk," Temi di discussione (Economic working papers) 774, Bank of Italy, Economic Research and International Relations Area.
    3. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    4. Valerio Vacca, 2011. "An unexpected crisis? Looking at pricing effectiveness of different banks," Temi di discussione (Economic working papers) 814, Bank of Italy, Economic Research and International Relations Area.
    5. Adonis Antoniades & Nikola Tarashev, 2014. "Securitisations: tranching concentrates uncertainty," BIS Quarterly Review, Bank for International Settlements, December.
    6. Aussenegg, Wolfgang & Resch, Florian & Winkler, Gerhard, 2011. "Pitfalls and remedies in testing the calibration quality of rating systems," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 698-708, March.
    7. Henry Penikas, 2023. "Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-25, December.
    8. Roberto Baviera, 2020. "The measure of model risk in credit capital requirements," Papers 2010.08028, arXiv.org.
    9. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
    10. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
    11. Dannenberg, Henry, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11/2011, Halle Institute for Economic Research (IWH).
    12. Baviera, Roberto, 2022. "The measure of model risk in credit capital requirements," Finance Research Letters, Elsevier, vol. 44(C).
    13. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, September.
    14. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    15. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    16. Henry Penikas, 2022. "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series wps92, Bank of Russia.
    17. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
    18. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
    19. Andrés Alonso Robisco & José Manuel Carbó Martínez, 2022. "Measuring the model risk-adjusted performance of machine learning algorithms in credit default prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.

  13. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank.

    Cited by:

    1. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
    2. Jan Mutl & Leopold Sögner, 2019. "Parameter estimation and inference with spatial lags and cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
    3. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
    4. Hayette Gatfaoui, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print hal-01745285, HAL.
    5. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    6. Sangwon Suh & Inwon Jang & Misun Ahn, 2013. "A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 75-100, December.
    7. Chamizo, Álvaro & Fonollosa, Alexandre & Novales, Alfonso, 2019. "Forward-looking asset correlations in the estimation of economic capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 264-288.
    8. Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
    9. Collins, Sean & Gallagher, Emily, 2014. "Assessing Credit Risk in Money Market Fund Portfolios," MPRA Paper 56256, University Library of Munich, Germany.
    10. Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.
    11. Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
    12. Timmermann, Allan & Schmidt, Lawrence & , & Wermers, Russ, 2017. "Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis," CEPR Discussion Papers 11895, C.E.P.R. Discussion Papers.

  14. Patrick McGuire & Ilhyock Nikola Tarashev, 2008. "Global monitoring with the BIS international banking statistics," BIS Working Papers 244, Bank for International Settlements.

    Cited by:

    1. Stefan Avdjiev & Robert N. McCauley & Hyun Song Shin, 2016. "Breaking free of the triple coincidence in international finance," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 31(87), pages 409-451.
    2. Marco A. Espinosa‐Vega & Juan Solé, 2011. "Cross‐border financial surveillance: a network perspective," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 3(3), pages 182-205, August.
    3. Avdjiev, S. & Giudici, P. & Spelta, A., 2019. "Measuring contagion risk in international banking," Journal of Financial Stability, Elsevier, vol. 42(C), pages 36-51.
    4. Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2009. "Cross-Border Exposures and Financial Contagion," Discussion Paper 2009-20, Tilburg University, Center for Economic Research.
    5. Frame, W. Scott & Mihov, Atanas & Sanz, Leandro, 2020. "Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(3), pages 955-988, May.
    6. McCauley, Robert N. & Bénétrix, Agustín S. & McGuire, Patrick M. & von Peter, Goetz, 2019. "Financial deglobalisation in banking?," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 116-131.
    7. Harrison, Michael & Nakajima, Jouchi & Shabani, Mimoza, 2022. "An evolution of global and regional banking networks: A focus on Japanese banks’ international expansion," Discussion paper series HIAS-E-120, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    8. Everett Grant, 2018. "The Double-Edged Sword of Global Integration: Robustness, Fragility \& Contagion in the International Firm Network," 2018 Meeting Papers 506, Society for Economic Dynamics.
    9. Francis, William B. & Osborne, Matthew, 2012. "Capital requirements and bank behavior in the UK: Are there lessons for international capital standards?," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 803-816.
    10. Kamin, Steven B. & DeMarco, Laurie Pounder, 2012. "How did a domestic housing slump turn into a global financial crisis?," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 10-41.
    11. Valeria Pellegrini & Enrico Tosti, 2012. "In search of lost capital: an estimation of undeclared portfolio assets," Questioni di Economia e Finanza (Occasional Papers) 131, Bank of Italy, Economic Research and International Relations Area.
    12. Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 115-139, Springer.
    13. Bank for International Settlements, 2015. "Introduction to BIS statistics," BIS Quarterly Review, Bank for International Settlements, September.
    14. Kubelec, Chris & Sa, Filipa, 2010. "The geographical composition of national external balance sheets: 1980-2005," Bank of England working papers 384, Bank of England.
    15. Everett Grant & Julieta Yung, 2021. "The double‐edged sword of global integration: Robustness, fragility, and contagion in the international firm network," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 760-783, September.
    16. Monica Dudian & Monica Balcan Maciuca, 2010. "Internal Ratings Systems: An Empirical Approach," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 5(1), pages 71-79, april.
    17. Milesi-Ferretti, Gian Maria & Tamirisa, Natalia & Strobbe, Francesco, 2010. "Bilateral Financial Linkages and Global Imbalances: A View on The Eve of the Financial Crisis," CEPR Discussion Papers 8173, C.E.P.R. Discussion Papers.
    18. William Vlcek, 2010. "Byways and Highways of Direct Investment: China and the Offshore World," Journal of Current Chinese Affairs - China aktuell, Institute of Asian Studies, GIGA German Institute of Global and Area Studies, Hamburg, vol. 39(4), pages 111-142.
    19. Poelhekke, Steven, 2015. "Do global banks facilitate foreign direct investment?," European Economic Review, Elsevier, vol. 76(C), pages 25-46.
    20. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    21. McLemore, Ping & Mihov, Atanas & Sanz, Leandro, 2022. "Global banks and systemic risk: The dark side of country financial connectedness," Journal of International Money and Finance, Elsevier, vol. 129(C).
    22. Kanas, Angelos & Molyneux, Philip & Zervopoulos, Panagiotis D., 2023. "Systemic risk and CO2 emissions in the U.S," Journal of Financial Stability, Elsevier, vol. 64(C).
    23. Alesia Kalbaska, 2013. "From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)," Department of Economics University of Siena 680, Department of Economics, University of Siena.

  15. Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.

    Cited by:

    1. Mr. Jaromir Benes & Mr. Michael Kumhof & Mr. Douglas Laxton, 2014. "Financial Crises in DSGE Models: A Prototype Model," IMF Working Papers 2014/057, International Monetary Fund.
    2. Christoph Wunderer, 2017. "Asset correlation estimation for inhomogeneous exposure pools," Papers 1701.02028, arXiv.org, revised Sep 2019.
    3. William R. White, 2007. "The housing finance revolution: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 69-84.
    4. Marcin Łupiński, 2013. "Statistical Data and Models Used for Analysis and Management of Financial Stability at the Macro Level," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 32.
    5. Antão, Paula & Lacerda, Ana, 2011. "Capital requirements under the credit risk-based framework," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1380-1390, June.
    6. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
    7. Joshua Coval & Jakub Jurek & Erik Stafford, 2009. "The Economics of Structured Finance," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 3-25, Winter.
    8. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," Revista de Economía del Rosario, Universidad del Rosario, June.
    9. Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine, 2016. "Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans," Discussion Papers 45/2016, Deutsche Bundesbank.

  16. Nikola A. Tarashev & Haibin Zhu, 2006. "The pricing of portfolio credit risk," BIS Working Papers 214, Bank for International Settlements.

    Cited by:

    1. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Jeremy Lawson (ed.),The Structure and Resilience of the Financial System, Reserve Bank of Australia.
    2. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
    3. Daniel Dimitrov & Sweder van Wijnbergen, 2022. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers 22-034/VI, Tinbergen Institute.
    4. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    5. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    6. Dimitrov, Daniel & van Wijnbergen, Sweder, 2023. "Macroprudential Regulation: A Risk Management Approach," CEPR Discussion Papers 17846, C.E.P.R. Discussion Papers.
    7. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
    8. Palombini, Edgardo, 2009. "Factor models and the credit risk of a loan portfolio," MPRA Paper 20107, University Library of Munich, Germany.
    9. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
    10. Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.

  17. Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.

    Cited by:

    1. Sim, Jaehun & Kim, Chae-Soo, 2019. "The value of renewable energy research and development investments with default consideration," Renewable Energy, Elsevier, vol. 143(C), pages 530-539.
    2. Wikil Kwak & Yong Shi & Gang Kou, 2012. "Bankruptcy prediction for Korean firms after the 1997 financial crisis: using a multiple criteria linear programming data mining approach," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 441-453, May.
    3. Samuel Maurer & Hoai-Luu Nguyen & Asani Sarkar & Chenyang Wei, 2009. "Financial innovation and corporate default rates," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    4. Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
    5. Jayadev M. & Joshy Jacob, 2010. "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 51-70, April.
    6. Wilmar Cabrera-Rodríguez & Santiago Segovia-Baquero & Juan Sebastián Mariño-Montaña & Eduardo Yanquen, 2019. "Probabilidad de incumplimiento de entidades financieras colombianas: una aproximación estructural," Borradores de Economia 1097, Banco de la Republica de Colombia.
    7. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    8. María Fernanda Hernández & Juan José Valero & María Bernardette Díaz, 2007. "Perfil de riesgos del sistema bancario venezolano: aplicación de la metodología de stress testing," Monetaria, CEMLA, vol. 0(4), pages 405-452, octubre-d.
    9. Mr. Gianni De Nicolo & Alexander F. Tieman, 2006. "Economic Integration and Financial Stability: A European Perspective," IMF Working Papers 2006/296, International Monetary Fund.
    10. Mr. Stefan W. Schmitz & Michael Sigmund & Ms. Laura Valderrama, 2017. "Bank Solvency and Funding Cost: New Data and New Results," IMF Working Papers 2017/116, International Monetary Fund.
    11. Borio, Claudio, 2006. "Monetary and financial stability: Here to stay?," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3407-3414, December.
    12. Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
    13. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Abel Rodríguez & Enrique ter Horst & Samuel Malone, 2015. "Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 839-867.
    15. Claudio Borio & Mathias Drehmann, 2009. "Assessing the risk of banking crises - revisited," BIS Quarterly Review, Bank for International Settlements, March.

  18. Nikola A. Tarashev, 2003. "Currency Crises and the Informational Role of Interest Rates," BIS Working Papers 135, Bank for International Settlements.

    Cited by:

    1. Bernardo Guimaraes & Stephen Morris, 2003. "Risk and Wealth in a Model of Self-fulfilling Currency Crises," Cowles Foundation Discussion Papers 1433R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2004.
    2. Christian Hellwig, 2004. "Self-Fulfilling Currency Crises: The Role of Interest Rates (A.E.R., December 2006)," UCLA Economics Online Papers 338, UCLA Department of Economics.
    3. Francisco Peñaranda & Jón Daníelsson, 2007. "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2010.
    4. Christian Hellwig & Arijit Mukherji & Aleh Tsyvinski, 2005. "Self-Fulfilling Currency Crises: The Role of Interest Rates," NBER Working Papers 11191, National Bureau of Economic Research, Inc.
    5. Christian Hellwig & Arijit Mukherji, 2005. "Financial Crises and Interest Rates," 2005 Meeting Papers 172, Society for Economic Dynamics.
    6. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
    7. Bernardo Guimaraes & Stephen Morris, 2005. "Risk and Wealth in a Model of Self-Fulfilling Currency Attacks," Levine's Bibliography 122247000000000790, UCLA Department of Economics.
    8. Sanne Zwart, 2005. "Liquidity runs with endogenous information acquisition," Economics Working Papers ECO2005/18, European University Institute.
    9. Stephen Morris & Hyun Song Shin, 2006. "Endogenous Public Signals and Coordination," Levine's Bibliography 122247000000001309, UCLA Department of Economics.
    10. Dasgupta, Amil, 2007. "Coordination and delay in global games," Journal of Economic Theory, Elsevier, vol. 134(1), pages 195-225, May.

Articles

  1. Michael R. King & Steven Ongena & Nikola Tarashev, 2020. "Bank Standalone Credit Ratings," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 101-144, September.
    See citations under working paper version above.
  2. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    See citations under working paper version above.
  3. Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.

    Cited by:

    1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
    2. Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.
    3. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
    4. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
    5. Nan Zhang & Heng Xu, 2024. "Fairness of Ratemaking for Catastrophe Insurance: Lessons from Machine Learning," Information Systems Research, INFORMS, vol. 35(2), pages 469-488, June.
    6. Brian Du, 2017. "How Useful Is Basel III's Liquidity Coverage Ratio? Evidence From US Bank Holding Companies," European Financial Management, European Financial Management Association, vol. 23(5), pages 902-919, October.
    7. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
    8. Qianqian Gao & Hong Fan, 2020. "Macroprudential regulation for a dynamic Chinese banking system with a scale-free network," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 579-611, July.
    9. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    10. Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
    11. Zhu, Bo & Lin, Renda & Liu, Jiahao, 2020. "Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective," Energy Economics, Elsevier, vol. 89(C).
    12. Lim, Hanah, 2022. "Benefit attribution in financial systems with bilateral netting," Finance Research Letters, Elsevier, vol. 45(C).
    13. Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.
    14. Giacomo Morelli, 2024. "Responsible investing and portfolio selection: a shapley - CVaR approach," Annals of Operations Research, Springer, vol. 342(3), pages 1991-2019, November.
    15. Arnold Polanski & Evarist Stoja & Ching‐Wai (Jeremy) Chiu, 2021. "Tail risk interdependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5499-5511, October.
    16. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    17. Ettore Panetti & Filomena Garcia, 2017. "A Theory of Government Bailouts in a Heterogeneous Banking System," Working Papers w201716, Banco de Portugal, Economics and Research Department.

  4. Adonis Antoniades & Nikola Tarashev, 2014. "Securitisations: tranching concentrates uncertainty," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Juliusz Jabłecki, 2017. "Rise And Fall Of Synthetic Cdo Market: Lessons Learned," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-28, December.
    2. Feixue Gong & Gregory Phelan, 2021. "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers 2021-07, Department of Economics, Williams College.
    3. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017. "ESBies: safety in the tranches," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 32(90), pages 175-219.
    4. Bavoso Vincenzo, 2017. "“High Quality Securitisation and EU Capital Markets Union – Is it Possible?”," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 7(3), pages 1-29, December.
    5. Sirio Aramonte & Fernando Avalos, 2020. "Corporate credit markets after the initial pandemic shock," BIS Bulletins 26, Bank for International Settlements.
    6. Feixue Gong & Gregory Phelan, 2016. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2016-06, Department of Economics, Williams College, revised Aug 2017.
    7. Karl Stacey & Ivailo Arsov & In Song Kim, 2015. "Structural Features of Australian Residential Mortgage-backed Securities," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 43-58, June.

  5. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis, 2014. "Bank business models," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Mergaerts, Frederik & Vander Vennet, Rudi, 2016. "Business models and bank performance: A long-term perspective," Journal of Financial Stability, Elsevier, vol. 22(C), pages 57-75.
    2. Franklin Allen & Elena Carletti & Robert Cull & Jun QJ Qian & Lemma Senbet & Patricio Valenzuela, 2021. "Improving Access to Banking: Evidence from Kenya [A matter of experience? Understanding the decline in group lending]," Review of Finance, European Finance Association, vol. 25(2), pages 403-447.
    3. Ahamed, M. Mostak & Mallick, Sushanta K., 2019. "Is financial inclusion good for bank stability? International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 403-427.
    4. Bräuning, Michael & Malikkidou, Despo & Scricco, Giorgio & Scalone, Stefano, 2019. "A new approach to Early Warning Systems for small European banks," Working Paper Series 2348, European Central Bank.
    5. Bolívar, Fernando & Duran, Miguel A. & Lozano-Vivas, Ana, 2023. "Bank business models, size, and profitability," Finance Research Letters, Elsevier, vol. 53(C).
    6. Cheng, Gong & Mevis, Dirk, 2015. "What happened to profitability? Shocks, challenges and perspectives for euro area banks," MPRA Paper 66150, University Library of Munich, Germany.
    7. Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2020. "Diversifying away risks through derivatives: an analysis of the Italian banking system," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 621-657, July.
    8. Benjamin H Cohen & Michela Scatigna, 2014. "Banks and capital requirements: channels of adjustment," BIS Working Papers 443, Bank for International Settlements.
    9. Stefan Avdjiev & Bilyana Bogdanova & Patrick Bolton & Wei Jiang & Anastasia Kartasheva, 2017. "CoCo Issuance and Bank Fragility," NBER Working Papers 23999, National Bureau of Economic Research, Inc.
    10. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
    11. David Grossmann & Peter Scholz, 2017. "Bank Regulation: One Size Does Not Fit All," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-1.
    12. Roberto Savona, 2022. "Bank business models, negative policy rates, and prudential regulation," Annals of Finance, Springer, vol. 18(3), pages 355-392, September.
    13. Matteo Farnè & Angelos T. Vouldis, 2020. "Does a bank's business model affect its capital and profitability?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    14. Lubberink, Martien, 2014. "Are banks’ below-par own debt repurchases a cause for prudential concern?," MPRA Paper 59475, University Library of Munich, Germany.
    15. Martín-Oliver, Alfredo & Ruano, Sonia & Salas-Fumás, Vicente, 2017. "The fall of Spanish cajas: Lessons of ownership and governance for banks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 244-260.
    16. Stefan Avdjiev & Leonardo Gambacorta & Linda Goldberg & Stefano Schiaffi, 2017. "The shifting drivers of global liquidity," BIS Working Papers 644, Bank for International Settlements.
    17. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
    18. Matteo Farnè & Angelos T. Vouldis, 2021. "Banks’ business models in the euro area: a cluster analysis in high dimensions," Annals of Operations Research, Springer, vol. 305(1), pages 23-57, October.
    19. Stieglitz, Moritz & Wagner, Konstantin, 2020. "Marginal returns to talent for material risk takers in banking," IWH Discussion Papers 20/2020, Halle Institute for Economic Research (IWH).
    20. Frey, Rainer, 2015. "Multinational banks' deleveraging in the crisis driven by pre-crisis characteristics and behavior," Discussion Papers 18/2015, Deutsche Bundesbank.
    21. Hryckiewicz, Aneta & Kozłowski, Łukasz, 2017. "Banking business models and the nature of financial crisis," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 1-24.
    22. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    23. Ms. Enrica Detragiache & Mr. Thierry Tressel & Ms. Rima A Turk, 2018. "Where Have All the Profits Gone? European Bank Profitability Over the Financial Cycle," IMF Working Papers 2018/099, International Monetary Fund.
    24. Mariña Martínez-Malvar & Laura Baselga-Pascual, 2020. "Bank Risk Determinants in Latin America," Risks, MDPI, vol. 8(3), pages 1-20, September.
    25. Dimitrios P. Louzis & Angelos T. Vouldis, 2017. "Profit strategy of Greek banks: cross-subsidization and diversification versus complementarity," Applied Economics, Taylor & Francis Journals, vol. 49(44), pages 4460-4481, September.
    26. Wu, Ji & Chen, Limei & Chen, Minghua & Jeon, Bang Nam, 2020. "Diversification, efficiency and risk of banks: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 45(C).
    27. Hałaj, Grzegorz, 2018. "System-wide implications of funding risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1151-1181.
    28. Stefano Cosma & Riccardo Ferretti & Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2017. "How Does Financial Market Evaluate Business Models? Evidence From European Banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0063, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    29. Radek Halamka & Petr Teplý, 2017. "The Effect of Ethics on Banks Financial Performance," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(3), pages 330-344.
    30. Lagasio, Valentina & Quaranta, Anna Grazia, 2022. "Cluster analysis of bank business models: The connection with performance, efficiency and risk," Finance Research Letters, Elsevier, vol. 47(PA).
    31. F. Bolivar & Miguel A. Duran & A. Lozano-Vivas, 2024. "Business Model Contributions to Bank Profit Performance: A Machine Learning Approach," Papers 2401.12334, arXiv.org.
    32. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on the activity of European banks," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 99-112.
    33. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017. "Five years after the Liikanen Report: What have we learned?," SAFE White Paper Series 50, Leibniz Institute for Financial Research SAFE.
    34. Jeon, Bang Nam & Wu, Ji & Chen, Limei & Chen, Minghua, 2020. "Diversification, efficiency and risk of banks: New consolidating evidence from emerging economies," School of Economics Working Paper Series 2020-10, LeBow College of Business, Drexel University.
    35. John O S Wilson & Linh Nguyen & Anna Sobiech & Lechedzani Kgari, 2024. "Bank business model identification evolution and outcomes evidence for South Africa," Working Papers 11059, South African Reserve Bank.
    36. Farnè, Matteo & Vouldis, Angelos, 2024. "Do retail-oriented banks have less non-performing loans?," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    37. Bernardo P. Marques & Carlos F. Alves, 2020. "Using clustering ensemble to identify banking business models," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(2), pages 66-94, April.
    38. Andrea Flori & Simone Giansante & Claudia Girardone & Fabio Pammolli, 2021. "Banks’ business strategies on the edge of distress," Annals of Operations Research, Springer, vol. 299(1), pages 481-530, April.
    39. de Ramon, Sebastian & Francis, William & Milonas, Kristoffer, 2017. "An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database," Bank of England working papers 652, Bank of England.
    40. David Grossmann & Peter Scholz, 2019. "The golden rule of banking: funding cost risks of bank business models," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(2), pages 174-196, June.
    41. Chen, Qianying & Katagiri, Mitsuru & Surti, Jay, 2022. "Monetary surprises and bank equity valuation with prolonged low interest rates," Finance Research Letters, Elsevier, vol. 47(PA).
    42. Andrea Flori & Simone Giansante & Fabio Pammolli, 2016. "Peer-Group Detection of Banks and Resilience to Distress," Working Papers 06/2016, IMT School for Advanced Studies Lucca, revised Dec 2016.
    43. Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
    44. Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
    45. Campmas, Alexandra, 2020. "How do European banks portray the effect of policy interest rates and prudential behavior on profitability?," Research in International Business and Finance, Elsevier, vol. 51(C).
    46. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
    47. Neamtu, Ioana & Vo, Quynh-Anh, 2021. "Capital allocation, the leverage ratio requirement," Bank of England working papers 956, Bank of England.
    48. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
    49. Giovanna Paladino & Zeno Rotondi, 2020. "Banking business models and risk: Findings from the ECB's comprehensive assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    50. Anjan Roy, 2021. "Business segment diversification of private banks in India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(3), pages 295-308, September.
    51. Christian Calmès & Raymond Théoret, 2023. "Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 472-516, June.
    52. Frey, Rainer, 2016. "Multinational banks’ deleveraging in the Global Financial Crisis," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 90-113.
    53. Hryckiewicz Aneta & Puławska Karolina, 2022. "How to Design a Bank Levy: The Effect of a Levy Scheme on Bank Performance and its Activities," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 30(3), pages 136-174, September.

  6. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
    See citations under working paper version above.
  7. Chen Zhou & Nikola Tarashev, 2013. "Looking at the tail: price-based measures of systemic importance," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
    2. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
    3. Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.

  8. Frank Packer & Nikola Tarashev, 2011. "Rating methodologies for banks," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Pastor Monsálvez José Manuel & Fernández de Guevara Radoselovics Juan & Salvador Muñoz Carlos, 2012. "Impact of the Subprime Crisis on Bank Ratings: The Effect of the Hardening of Rating Policies and Worsening of Solvency," Working Papers 2012120, Fundacion BBVA / BBVA Foundation.
    2. Grassa, Rihab & Moumen, Nejia & Hussainey, Khaled, 2020. "Is bank creditworthiness associated with risk disclosure behavior? Evidence from Islamic and conventional banks in emerging countries," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    3. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
    4. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.
    5. Oana Toader, 2014. "Quantifying and Explaining Implicit Public Guarantees for European Banks," Working Papers halshs-01015376, HAL.
    6. Antzoulatos, Angelos A. & Tsoumas, Chris, 2014. "Institutions, moral hazard and expected government support of banks," Journal of Financial Stability, Elsevier, vol. 15(C), pages 161-171.
    7. Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2015. "The credit quality channel: Modeling contagion in the interbank market," Discussion Papers 38/2015, Deutsche Bundesbank.
    8. Sebastian Schich & Arturo Estrella, 2015. "Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(5), pages 19-32, October.
    9. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
    10. Botelho, Tatiana & Magrini, Alessandra & Schaeffer, Roberto, 2014. "Plumbing the depths: Utilizing O&G reserve profiles to develop forward-looking risk assessments for exploration and production activities," Energy Policy, Elsevier, vol. 69(C), pages 489-500.
    11. György Inzelt & Zsuzsa Szentes-Markhot & Gábor Budai, 2018. "Monitoring of Banks’ Risks Related to the Funding of Financial Enterprises," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 112-139.
    12. Salvador, Carlos & Fernández de Guevara, Juan & Pastor, José Manuel, 2018. "The adjustment of bank ratings in the financial crisis: International evidence," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 289-313.
    13. Michael R King & Steven Ongena & Nikola Tarashev, 2016. "Bank standalone credit ratings," BIS Working Papers 542, Bank for International Settlements.
    14. Patrick Van Roy & Cristina Vespro, 2012. "The role and impact of external support in bank credit ratings," Financial Stability Review, National Bank of Belgium, vol. 10(1), pages 109-119, June.
    15. Ballis, Antonis & Ioannidis, Christos & Sifodaskalakis, Emmanouil, 2024. "Structural shifts in bank credit ratings," Journal of Financial Stability, Elsevier, vol. 73(C).
    16. Lenz, Rainer, 2011. "Get rid of banks and build up a modern financial world," MPRA Paper 33501, University Library of Munich, Germany.
    17. Arturo Estrella & Sebastian Schich, 2012. "Sovereign and Banking Sector Debt: Interconnections through Guarantees," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2011(2), pages 21-45.
    18. Patrycja Chodnicka Jaworska, "undated". "Prediction Of Banking Sector Condition," Review of Socio - Economic Perspectives 201703, Reviewsep.
    19. Marlene Amstad & Frank Packer, 2015. "Sovereign ratings of advanced and emerging economies after the crisis," BIS Quarterly Review, Bank for International Settlements, December.
    20. Dinara Khamitovna GALLYAMOVA & Aidar Il'darovich MIFTAKHOV, 2017. "Boosting The Autonomy Of Regional Banking Systems As A Driver Of Economic Development: The Case Of Russia," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 55-68, December.

  9. Mathias Drehmann & Nikola Tarashev, 2011. "Systemic importance: some simple indicators," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Patrick M. McGuire & Mr. Stijn Claessens, 2011. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," IMF Working Papers 2011/222, International Monetary Fund.
    2. Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
    3. Avdjiev, S. & Giudici, P. & Spelta, A., 2019. "Measuring contagion risk in international banking," Journal of Financial Stability, Elsevier, vol. 42(C), pages 36-51.
    4. Pankoke, David, 2014. "Sophisticated vs. Simple Systemic Risk Measures," Working Papers on Finance 1422, University of St. Gallen, School of Finance.
    5. Patrick Brämer & Horst Gischer, 2013. "An Assessment Methodology for Domestic Systemically Important Banks in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 46(2), pages 140-159, June.
    6. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    7. Puspa Amri & Apanard P. Angkinand & Clas Wihlborg, 2011. "International comparisons of bank regulation, liberalization, and banking crises," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 3(4), pages 322-339, November.
    8. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    9. Giordana, Gastón & Ziegelmeyer, Michael, 2020. "Stress testing household balance sheets in Luxembourg," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 115-138.
    10. Löffler, Gunter & Raupach, Peter, 2013. "Robustness and informativeness of systemic risk measures," Discussion Papers 04/2013, Deutsche Bundesbank.
    11. Caccioli, Fabio & Farmer, J. Doyne & Foti, Nick & Rockmore, Daniel, 2015. "Overlapping portfolios, contagion, and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 50-63.
    12. Anna Buriak & Serhiy Lyeonov & Tetiana Vasylieva, 2015. "Systematically Important Domestic Banks: An Indicator-Based Measurement Approach for the Ukrainian Banking System," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(6), pages 715-728.
    13. Iulia Lupu & Gheorghe Hurduzeu & Radu Lupu, 2022. "How Is the ESG Reflected in European Financial Stability?," Sustainability, MDPI, vol. 14(16), pages 1-14, August.
    14. Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2014. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 134-146.
    15. William R. White, 2014. "The Prudential Regulation of Financial Institutions: Why Regulatory Responses to the Crisis Might Not Prove Sufficient," OECD Economics Department Working Papers 1108, OECD Publishing.
    16. Claudio Borio, 2013. "The Great Financial Crisis: setting priorities for new statistics," BIS Working Papers 408, Bank for International Settlements.
    17. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    18. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
    19. Foti, Nicholas J. & Pauls, Scott & Rockmore, Daniel N., 2013. "Stability of the World Trade Web over time – An extinction analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1889-1910.
    20. Gastón Andrés Giordana & Ingmar Schumacher, 2017. "An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg," JRFM, MDPI, vol. 10(2), pages 1-21, April.
    21. Antzoulatos, Angelos A. & Tsoumas, Chris, 2014. "Institutions, moral hazard and expected government support of banks," Journal of Financial Stability, Elsevier, vol. 15(C), pages 161-171.
    22. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank.
    23. Jobst, Andreas A., 2014. "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
    24. Lasse Loepfe & Antonio Cabrales & Angel Sánchez, 2013. "Towards a Proper Assignment of Systemic Risk: The Combined Roles of Network Topology and Shock Characteristics," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-1, October.
    25. Wu, Feng-lin & Zhou, Jia-qi & Wang, Ming-hui, 2024. "The writing on the wall: A connectedness-based analysis of ownership structure and bank risk in China," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    26. Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.
    27. Lara Mónica Machado Fernandes & Maria Rosa Borges, 2013. "Interbank Linkages and Contagion Risk in the Portuguese Banking System," Working Papers Department of Economics 2013/23, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    28. I�aki Aldasoro & Ignazio Angeloni, 2015. "Input-output-based measures of systemic importance," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 589-606, April.
    29. Jong Han Lee & Jaemin Ryu & Dimitrios P. Tsomocos, 2012. "Measures of Systemic Risk and Financial Fragility in Korea," Working Papers 2012-12, Economic Research Institute, Bank of Korea.
    30. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    31. Buch, Claudia M. & Hilberg, Björn & Tonzer, Lena, 2014. "Taxing banks: An evaluation of the German bank levy," Discussion Papers 38/2014, Deutsche Bundesbank.
    32. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    33. Ly, Kim Cuong & Liu, Frank Hong & Opong, Kwaku, 2018. "Can parents protect their children? Risk comparison analysis between affiliates of multi- and single-bank holding companies," Journal of Financial Stability, Elsevier, vol. 37(C), pages 1-10.
    34. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    35. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    36. Ewa Dziwok & Marta A. Karaś, 2021. "Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets," Risks, MDPI, vol. 9(7), pages 1-29, July.
    37. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
    38. Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore, 2013. "How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network," Papers 1306.3704, arXiv.org.
    39. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    40. Zlatuse Komarkova & Vaclav Hausenblas & Jan Frait, 2012. "How To Identify Systemically Important Financial Institutions," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 100-111, Czech National Bank.
    41. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    42. Mr. Kalin I Tintchev, 2013. "Connected to Whom? International Interbank Borrowing During the Global Crisis," IMF Working Papers 2013/014, International Monetary Fund.
    43. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2019. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers hal-02292323, HAL.
    44. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    45. Manfred Jaeger-Ambrozewicz, 2012. "Closed form solutions of measures of systemic risk," Papers 1211.4173, arXiv.org.
    46. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    47. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    48. Raphaëlle BELLANDO & Oana TOADER, 2017. "An analysis of banks’ weaknesses in the light of stress tests," LEO Working Papers / DR LEO 2479, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    49. Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
    50. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
    51. PICIU, Gabriela Cornelia, 2013. "Internal Rating – An Active Instrument In The Management Of Banking Risks. Case Study Bcr," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 17(2), pages 21-30.
    52. Alexandra Popescu & Camelia Turcu, 2014. "Systemic Sovereign Risk in Europe: an MES and CES Approach," Working Papers 2014.04, International Network for Economic Research - INFER.
    53. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.
    54. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    55. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    56. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The role of shadow banking in systemic risk in the European financial system," Journal of Banking & Finance, Elsevier, vol. 138(C).
    57. Rolf H. Weber & Douglas W. Arner & Evan C. Gibson & Simone Baumann, 2014. "Addressing systemic risk in East Asia: financial regulatory design," Chapters, in: Iwan J. Azis & Hyun S. Shin (ed.), Global Shock, Risks, and Asian Financial Reform, chapter 6, pages 204-245, Edward Elgar Publishing.
    58. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
    59. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    60. Yuthika Indraratna, 2013. "Strengthening Financial Stability Indicators in the Midst of Rapid Financial Innovation: Updates and Assessments," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp89.
    61. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
    62. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    63. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.

  10. Tarashev, Nikola, 2010. "Measuring portfolio credit risk correctly: Why parameter uncertainty matters," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2065-2076, September.
    See citations under working paper version above.
  11. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
    2. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    3. Franziska Bremus & Claudia M. Buch & Katheryn N. Russ & Monika Schnitzer, 2018. "Big Banks and Macroeconomic Outcomes: Theory and Cross‐Country Evidence of Granularity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1785-1825, December.
    4. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    5. Hossein Dastkhan, 2019. "What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-31, March.
    6. Sheri M Markose, 2013. "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
    7. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach," IMF Working Papers 2012/046, International Monetary Fund.
    8. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
    9. Jorge A. Chan‐Lau, 2010. "Regulatory Capital Charges for Too‐Connected‐to‐Fail Institutions: A Practical Proposal," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(5), pages 355-379, December.
    10. Riccardo De Bonis & Matteo Piazza, 2020. "A silent revolution: How central bank statistics have changed in the last 25 years," Questioni di Economia e Finanza (Occasional Papers) 579, Bank of Italy, Economic Research and International Relations Area.
    11. Sun, Tao, 2010. "Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework," The Journal of Economic Asymmetries, Elsevier, vol. 7(2), pages 77-103.
    12. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    13. Geller, Chris R. & Mustard, Jamie & Shahwan, Ranya, 2013. "Focused power: Experiments, the Shapley-Shubik power index, and focal points," Economics Discussion Papers 2013-42, Kiel Institute for the World Economy (IfW Kiel).
    14. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series 46, Leibniz Institute for Financial Research SAFE.
    15. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    16. Jaime Caruana, 2010. "Financial Stability: Ten Questions and about Seven Answers," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Michael Robson (ed.),Reserve Bank of Australia 50th Anniversary Symposium, Reserve Bank of Australia.
    17. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
    18. Gastón Andrés Giordana & Ingmar Schumacher, 2017. "An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg," JRFM, MDPI, vol. 10(2), pages 1-21, April.
    19. Borio, C., 2009. "Implementing the macroprudential approach to financial regulation and supervision," Financial Stability Review, Banque de France, issue 13, pages 31-41, September.
    20. Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
    21. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
    22. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2015. "Realized Bank Risk during the Great Recession," International Finance Discussion Papers 1140, Board of Governors of the Federal Reserve System (U.S.).
    23. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    24. Clark, Ephraim & Jokung, Octave, 2015. "The role of regulatory credibility in effective bank regulation," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 506-513.
    25. Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.
    26. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    27. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    28. Buch, Claudia M. & Neugebauer, Katja, 2011. "Bank-specific shocks and the real economy," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2179-2187, August.
    29. Jong Han Lee & Jaemin Ryu & Dimitrios P. Tsomocos, 2012. "Measures of Systemic Risk and Financial Fragility in Korea," Working Papers 2012-12, Economic Research Institute, Bank of Korea.
    30. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
    31. Sedunov, John, 2016. "What is the systemic risk exposure of financial institutions?," Journal of Financial Stability, Elsevier, vol. 24(C), pages 71-87.
    32. Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.
    33. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
    34. Ly, Kim Cuong & Liu, Frank Hong & Opong, Kwaku, 2018. "Can parents protect their children? Risk comparison analysis between affiliates of multi- and single-bank holding companies," Journal of Financial Stability, Elsevier, vol. 37(C), pages 1-10.
    35. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    36. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    37. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    38. Gaganis, Chrysovalantis & Hasan, Iftekhar & Papadimitri, Panagiota & Tasiou, Menelaos, 2019. "National culture and risk-taking: Evidence from the insurance industry," Journal of Business Research, Elsevier, vol. 97(C), pages 104-116.
    39. Sofiane Aboura & Emmanuel Lépinette-Denis, 2014. "An Alternative Model to Basel Regulation," Post-Print hal-01526063, HAL.
    40. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
    41. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
    42. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Endogenous banks' networks, cascades and systemic risk," SAFE Working Paper Series 12, Leibniz Institute for Financial Research SAFE, revised 2014.
    43. Jose Fique, 2015. "A Microfounded Design of Interconnectedness-Based Macroprudential Regulation," CAEPR Working Papers 2015-008, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    44. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
    45. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    46. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    47. Xiaobing Feng & Haibo Hu, 2014. "Measurement and Internalization of Systemic Risk in a Global Banking Network," Papers 1404.5689, arXiv.org.
    48. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    49. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2012. "Bank Risk during the Financial Crisis: Do business models matter?," Working Papers 12003, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    50. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    51. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
    52. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    53. Noman Arshed & Rukhsana Kalim, 2021. "Modelling demand and supply of Islamic banking deposits," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2813-2831, April.
    54. Usman, Muhammad & Umar, Zaghum & Choi, Sun-Yong & Teplova, Tamara, 2024. "Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 281-293.
    55. Hossein Dastkhan, 2021. "Network‐based early warning system to predict financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 594-616, January.
    56. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
    57. Jian Min & Jiaojiao Zhu & Jian-Bo Yang, 2020. "The Risk Monitoring of the Financial Ecological Environment in Chinese Outward Foreign Direct Investment Based on a Complex Network," Sustainability, MDPI, vol. 12(22), pages 1-26, November.
    58. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    59. Saeed, Momna & Izzeldin, Marwan & Hassan, M. Kabir & Pappas, Vasileios, 2020. "The inter-temporal relationship between risk, capital and efficiency: The case of Islamic and conventional banks," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    60. Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
    61. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2014. "Assessing the contribution of banks, insurance and other financial services to systemic risk," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 270-287.
    62. Phil Molyneux & Klaus Schaeck & Tim Zhou, 2011. "‘Too Systemically Important to Fail’ in Banking," Working Papers 11011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    63. Necmi Kemal Avkiran & Lin Mi, 2017. "The Rising Systemic Importance of Chinese Banks: Should the World Be Concerned?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(4), pages 427-440, December.
    64. Yang, Hsin-Feng & Liu, Chih-Liang & Yeutien Chou, Ray, 2020. "Bank diversification and systemic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 311-326.
    65. Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
    66. Claudia M. Buch & Katja Neugebauer, 2009. "Diversification of Banks' International Portfolios: Evidence and Policy Lessons," Working Paper / FINESS 2.4, DIW Berlin, German Institute for Economic Research.
    67. Borio Claudio, 2011. "Implementing a Macroprudential Framework: Blending Boldness and Realism," Capitalism and Society, De Gruyter, vol. 6(1), pages 1-25, August.
    68. Mr. Jorge A Chan-Lau, 2010. "Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 2010/107, International Monetary Fund.
    69. Co-Pierre Georg & Jenny Poschmann, 2010. "Systemic risk in a network model of interbank markets with central bank activity," Jena Economics Research Papers 2010-033, Friedrich-Schiller-University Jena.
    70. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 2011/111, International Monetary Fund.
    71. Jean-Charles Rochet, 2009. "Regulating Systemic Institutions," Finnish Economic Papers, Finnish Economic Association, vol. 22(2), pages 35-46, Autumn.
    72. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    73. Molyneux, Philip & Schaeck, Klaus & Zhou, Tim Mi, 2014. "‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 258-282.
    74. Muhammad Saqib Bashir Butt & Hasniza Mohd Taib, 2019. "Economic Forces and Firm Stock Returns Volatility: Role of Firm Features," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 7(3), pages :281-302, September.

  12. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.

    Cited by:

    1. Kao, Lie-Jane, 2015. "A portfolio-invariant capital allocation scheme penalizing concentration risk," Economic Modelling, Elsevier, vol. 51(C), pages 560-570.
    2. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
    3. Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
    4. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
    5. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    6. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    7. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    8. Henry Penikas, 2023. "Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-25, December.
    9. Chalermchatvichien, Pichaphop & Jumreornvong, Seksak & Jiraporn, Pornsit, 2014. "Basel III, capital stability, risk-taking, ownership: Evidence from Asia," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 28-46.
    10. Nikola Tarashev & Kostas Tsatsaronis & Claudio Borio, 2016. "Risk Attribution Using the Shapley Value: Methodology and Policy Applications," Review of Finance, European Finance Association, vol. 20(3), pages 1189-1213.
    11. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
    12. Antonio Di Cesare & Anna Rogantini Picco, 2018. "A Survey of Systemic Risk Indicators," Questioni di Economia e Finanza (Occasional Papers) 458, Bank of Italy, Economic Research and International Relations Area.
    13. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," Economic Modelling, Elsevier, vol. 125(C).
    14. Yan, Meilan & Hall, Maximilian J.B. & Turner, Paul, 2012. "A cost–benefit analysis of Basel III: Some evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 73-82.
    15. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
    16. Henry Penikas, 2022. "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series wps92, Bank of Russia.
    17. Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.
    18. Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
    19. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    20. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.
    21. Eva Lutkebohmert & Julian Sester, 2024. "Measuring Name Concentrations through Deep Learning," Papers 2403.16525, arXiv.org, revised Nov 2024.
    22. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2016. "Accuracy of mortgage portfolio risk forecasts during financial crises," European Journal of Operational Research, Elsevier, vol. 249(2), pages 440-456.

  13. Ingo Fender & Nikola Tarashev & Haibin Zhu, 2008. "Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Bernd Rudolph & Julia Scholz, 2008. "Driving Factors of the Subprime Crisis and Some Reform Proposals," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 6(03), pages 14-19, October.
    2. Király, Júlia & Nagy, Márton & Szabó E., Viktor, 2008. "Egy különleges eseménysorozat elemzése - a másodrendű jelzáloghitel-piaci válság és (hazai) következményei [Analysis of a special sequence of events - the crisis on the secondary mortgage market an," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 573-621.
    3. Mitchell, Janet & Fender, Ingo, 2009. "Incentives and Tranche Retention in Securitisation: A Screening Model," CEPR Discussion Papers 7483, C.E.P.R. Discussion Papers.
    4. Dror Parnes, 2015. "Dynamic risk model for CMO with credit tranching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-15, December.
    5. Claudio Borio, 2009. "Ten propositions about liquidity crises," BIS Working Papers 293, Bank for International Settlements.
    6. Adonis Antoniades & Nikola Tarashev, 2014. "Securitisations: tranching concentrates uncertainty," BIS Quarterly Review, Bank for International Settlements, December.
    7. Claudio Borio & Claudio Mathias Drehmann, 2009. "Towards an operational framework for financial stability: "fuzzy" measurement and its consequences," BIS Working Papers 284, Bank for International Settlements.
    8. William R. White, 2014. "The Prudential Regulation of Financial Institutions: Why Regulatory Responses to the Crisis Might Not Prove Sufficient," OECD Economics Department Working Papers 1108, OECD Publishing.
    9. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    10. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014. "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, vol. 17(1), pages 1-37, April.
    12. Ingo Fender & Janet Mitchell, 2009. "The future of securitisation: how to align incentives," BIS Quarterly Review, Bank for International Settlements, September.
    13. Frank Packer & Nikola Tarashev, 2011. "Rating methodologies for banks," BIS Quarterly Review, Bank for International Settlements, June.
    14. Claudio Borio & Bent Vale & Goetz von Peter, 2010. "Resolving the financial crisis: are we heeding the lessons from the Nordics?," Working Paper 2010/17, Norges Bank.
    15. Wojtowicz, Marcin, 2014. "CDOs and the financial crisis: Credit ratings and fair premia," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 1-13.
    16. PICIU, Gabriela Cornelia, 2013. "Internal Rating – An Active Instrument In The Management Of Banking Risks. Case Study Bcr," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 17(2), pages 21-30.
    17. Siegert, Caspar, 2014. "Optimal Opacity on Financial Markets," Discussion Papers in Economics 20937, University of Munich, Department of Economics.
    18. Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
    19. Scholz, Julia, 2011. "Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs," Discussion Papers in Business Administration 12144, University of Munich, Munich School of Management.
    20. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.

  14. Nikola A. Tarashev, 2008. "An Empirical Evaluation of Structural Credit-Risk Models," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 1-53, March.
    See citations under working paper version above.
  15. Patrick McGuire & Nikola Tarashev, 2008. "Bank health and lending to emerging markets," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Patrick M. McGuire & Mr. Stijn Claessens, 2011. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," IMF Working Papers 2011/222, International Monetary Fund.
    2. Shijaku, Gerti & Kalluci, Irini, 2013. "Determinants of bank credit to the private sector: The case of Albania," MPRA Paper 79092, University Library of Munich, Germany.
    3. Ramona Jimborean, 2018. "What Drives Private Non Financial Sector Borrowing in Emerging Market Economies?," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 503-504, pages 143-161.
    4. Alejandro Jara & Néstor Romero, 2016. "Sincronía internacional de los precios de la vivienda," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 76-91, April.
    5. Amiti, Mary & McGuire, Patrick & Weinstein, David, 2017. "Supply- and Demand-side Factors in Global Banking," CEPR Discussion Papers 12091, C.E.P.R. Discussion Papers.
    6. Delphine Lahet, 2009. "Les Banques Étrangères En Asie Du Sud-Est : Le Rôle Des Local Claims," Working Papers hal-00616577, HAL.
    7. Choi, Moon Jung & Gutierrez, Eva & Peria, Maria Soledad Martinez, 2013. "Dissecting foreign bank lending behavior during the 2008-2009 crisis," Policy Research Working Paper Series 6674, The World Bank.
    8. Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    9. Sophie Brana & Delphine Lahet, 2011. "Foreign Banks and the Stability of Foreign and Domestic Credit in CEECs," Larefi Working Papers 1107, Larefi, Université Bordeaux 4.
    10. Sabine Herrmann & Dubravko Mihaljek, 2013. "The determinants of cross-border bank flows to emerging markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 21(3), pages 479-508, July.
    11. Imran, Kashif & Nishat, Mohammed, 2013. "Determinants of bank credit in Pakistan: A supply side approach," Economic Modelling, Elsevier, vol. 35(C), pages 384-390.
    12. Ghosh,Swati R. & Sugawara,Naotaka & Zalduendo,Juan F., 2011. "Banking flows and financial crisis -- financial interconnectedness and basel III effects," Policy Research Working Paper Series 5769, The World Bank.
    13. Weder di Mauro, Beatrice & Van Rijckeghem, Caroline, 2014. "Global Bank Lending Flows: Identifying the Flight Home Effect," CEPR Discussion Papers 10139, C.E.P.R. Discussion Papers.
    14. Sophie Brana & Delphine Lahet, 2009. "La Présence De Banques Étrangères En Europe De L'Est : Quels Risques Financiers ?," Working Papers hal-00616580, HAL.
    15. Stefan Avdjiev & Elod Takáts, 2014. "Cross-border bank lending during the taper tantrum: the role of emerging market fundamentals," BIS Quarterly Review, Bank for International Settlements, September.
    16. Rudiger Ahrend & Antoine Goujard, 2012. "International Capital Mobility and Financial Fragility - Part 3. How Do Structural Policies Affect Financial Crisis Risk?: Evidence from Past Crises Across OECD and Emerging Economies," OECD Economics Department Working Papers 966, OECD Publishing.
    17. Sophie Brana & Dalila Chenaf-Nicet & Delphine Lahet, 2023. "Drivers of cross-border bank claims: The role of foreign-owned banks in emerging countries," Working Papers 2023.06, International Network for Economic Research - INFER.
    18. Alessio Ciarlone & Andrea Colabella, 2016. "Spillovers of the ECB's non-standard monetary policy into CESEE economies," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 34(81), pages 175-190, November.
    19. Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2015. "Comparative assessment of macroprudential policies," BIS Working Papers 502, Bank for International Settlements.
    20. Swati R. Ghosh & Naotaka Sugawara & Juan Zalduendo, 2012. "Banking Flows And Financial Crisis Financial Interconnectedness And Basel Iii Effects," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-32.
    21. Stefan Avdjiev & Valentina Bruno & Catherine Koch, 2018. "The dollar exchange rate as a global risk factor: evidence from investment," BIS Working Papers 695, Bank for International Settlements.
    22. Claessens, Stijn & Ratnovski, Lev & Cerutti, Eugenio, 2014. "Global Liquidity and Drivers of Cross-Border Bank Flows," CEPR Discussion Papers 10314, C.E.P.R. Discussion Papers.
    23. Toro-Córdoba, Jorge Hernán & Mora-Quiñones, Rocío & Parra-Amado, Daniel, 2013. "Flujos de capitales, la crisis financiera internacional y los desbalances macroeconómicos," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 1, pages 1-51, Banco de la Republica de Colombia.
    24. Herrmann, Sabine & Mihaljek, Dubravko, 2010. "The determinants of cross-border bank flows to emerging markets: New empirical evidence on the spread of financial crises," Discussion Paper Series 1: Economic Studies 2010,17, Deutsche Bundesbank.
    25. Thierry Warin & Aleksandar Stojkov, 2021. "Banks’ Foreign Claims in the Aftermath of the 2008 Crisis: Institutional Response, Financial Efficiency, and Integration of Cross-Border Banking in the Euro Area," JRFM, MDPI, vol. 14(2), pages 1-17, February.
    26. Vidal-Tomás, David & Tedeschi, Gabriele & Ripollés, Jordi, 2020. "The desertion of rich countries and the mutual support of the poor ones: Preferential lending agreements among the PIGS," Finance Research Letters, Elsevier, vol. 34(C).
    27. Li, He & Refalo, James & Maisondieu-Laforge, Olivier, 2021. "National corruption and international banking," Global Finance Journal, Elsevier, vol. 47(C).
    28. Madhusudan Mohanty & Philip Turner, 2010. "Banks and financial intermediation in emerging Asia: reforms and new risks," BIS Working Papers 313, Bank for International Settlements.
    29. Pería, María Soledad Martínez, 2013. "Comment," LSE Research Online Documents on Economics 123225, London School of Economics and Political Science, LSE Library.
    30. Stefan Avdjiev & Christian Dembiermont & Blaise Gadanecz & Branimir Gruić & Patrick McGuire & Swapan Kumar Pradhan & Paul Van den Bergh & Philip Wooldridge & Bruno Tissot & Marie-Céline Bard & Xavier-, 2015. "IAG Reference document on Consolidation and corporate groups: an overview of methodological and practical issues," IFC Reports 1, Bank for International Settlements.
    31. Shim, Ilhyock & Shin, Kwanho, 2021. "Financial stress in lender countries and capital outflows from emerging market economies," Journal of International Money and Finance, Elsevier, vol. 113(C).
    32. Kamil, Herman & Rai, Kulwant, 2013. "Global deleveraging and foreign banks’ lending to Latin American countries," LSE Research Online Documents on Economics 123278, London School of Economics and Political Science, LSE Library.
    33. Brahim Gaies & Mahmoud‐Sami Nabi, 2021. "Banking crises and economic growth in developing countries: Why privileging foreign direct investment over external debt?," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 736-761, October.
    34. Rainer Frey & Cornelia Kerl & Alexander Lipponer, 2018. "Withdrawal from Foreign Lending in the Financial Crisis by Parent Banks and Their Branches and Subsidiaries: Supply Versus Demand Effects," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 1-48, August.
    35. Figuet, Jean-Marc & Humblot, Thomas & Lahet, Delphine, 2015. "Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 294-310.
    36. Victor Pontines & Reza Y. Siregar, 2012. "How Should We Bank With Foreigners? An Empirical Assessment of Lending Behaviour of International Banks to Six East Asian Economies," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ54.
    37. Moon Jung Choi & Eva Gutierrez & Maria Soledad Martinez Peria, 2016. "Dissecting Foreign Bank Lending Behavior During the 2008–2009 Crisis," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 25(5), pages 361-398, December.
    38. Moon Jung Choi & Eva Gutierrez & Maria Soledad Martinez Peria, 2014. "Dissecting Foreign Bank Lending Behavior During the 2008-2009 Crisis," Working Papers 2014-7, Economic Research Institute, Bank of Korea.
    39. Caroline Van Rijckeghem & Beatrice Weder di Mauro, 2013. "Financial Deglobalization: Is The World Getting Smaller?," Working Papers 2013/14, Bogazici University, Department of Economics.
    40. Stefan Avdjiev & Elod Takats, 2016. "Monetary policy spillovers and currency networks in cross-border bank lending," BIS Working Papers 549, Bank for International Settlements.
    41. Cerutti, Eugenio, 2015. "Drivers of cross-border banking exposures during the crisis," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 340-357.
    42. Mary Amiti & Patrick McGuire & David E. Weinstein, 2019. "International Bank Flows and the Global Financial Cycle," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 61-108, March.
    43. Mr. Kalin I Tintchev, 2013. "Connected to Whom? International Interbank Borrowing During the Global Crisis," IMF Working Papers 2013/014, International Monetary Fund.
    44. Sophie Brana & Delphine Lahet, 2011. "Foreign Banks and the Stability of Foreign and Domestic Credit in CEECs," Larefi Working Papers 201107, Larefi, Université Bordeaux 4.
    45. Lee, Eun-Joo, 2017. "Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 1-22.
    46. Bruno Bonizzi, 2017. "International financialisation, developing countries and the contradictions of privatised Keynesianism," Economic and Political Studies, Taylor & Francis Journals, vol. 5(1), pages 21-40, January.
    47. Alegría, Andrés & Cowan, Kevin & García, Pablo, 2018. "Spillovers and relationships in cross border banking: The case of Chile11The views are those of the authors and do not represent those of the Central Bank of Chile or the Financial Market Commission. ," Journal of Financial Stability, Elsevier, vol. 39(C), pages 259-272.
    48. Mr. Thierry Tressel, 2010. "Financial Contagion Through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis," IMF Working Papers 2010/236, International Monetary Fund.
    49. Andrew Powell, 2012. "The World of Forking Paths: Latin America and the Caribbean Facing Global Economic Risks," Research Department Publications 4766, Inter-American Development Bank, Research Department.
    50. Ma, Guonan & McCauley, Robert N., 2013. "Is China or India more financially open?," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 6-27.
    51. Bank for International Settlements, 2009. "Capital flows and emerging market economies," CGFS Papers, Bank for International Settlements, number 33, October –.
    52. Vahram Stepanyan & Kai Guo, 2011. "Determinants of Bank Credit in Emerging Market Economies," IMF Working Papers 2011/051, International Monetary Fund.
    53. Stefan Afdjiev & Zsolt Kuti & Elod Takáts, 2012. "The euro area crisis and cross-border bank lending to emerging markets," BIS Quarterly Review, Bank for International Settlements, December.
    54. Michał Kruszka, 2012. "Bankowość transgraniczna w Europie Środkowo-Wschodniej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1-2, pages 41-64.
    55. Akhand Akhtar Hossain, 2015. "Economic Management in a Volatile Environment: Monetary and Financial Issues by Ramkishen S. Rajan and Sasidaran Gopalan Palgrave Macmillan , London , 2015 Pp. xx+283. ISBN 9 78 137 37151-5," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 29(2), pages 103-106, November.
    56. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    57. Bruno Tissot, 2016. "Globalisation and financial stability risks: is the residency-based approach of the national accounts old-fashioned?," BIS Working Papers 587, Bank for International Settlements.
    58. Ralph De Haas & Neeltje Van Horen, 2013. "Running for the Exit? International Bank Lending During a Financial Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 244-285.
    59. Suiwah Leung, 2010. "Finance, Trade and Development in East Asia: Opportunities for Mekong Economies," Chapters, in: Suiwah Leung & Ben Bingham & Matt Davies (ed.), Globalization and Development in the Mekong Economies, chapter 4, Edward Elgar Publishing.
    60. Koepke, Robin, 2015. "What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature," MPRA Paper 62770, University Library of Munich, Germany.
    61. Mr. Eugenio M Cerutti, 2013. "Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants," IMF Working Papers 2013/009, International Monetary Fund.
    62. Ahrend, Rudiger & Goujard, Antoine, 2015. "Global banking, global crises? The role of the bank balance-sheet channel for the transmission of financial crises," European Economic Review, Elsevier, vol. 80(C), pages 253-279.
    63. Alejandro Jara & Ramon Moreno & Camilo E Tovar, 2009. "The global crisis and Latin America: financial impact and policy responses," BIS Quarterly Review, Bank for International Settlements, June.
    64. Torsten Ehlers & Patrick McGuire, 2017. "Foreign banks and credit conditions in EMEs," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial systems and the real economy, volume 91, pages 101-123, Bank for International Settlements.

  16. Patrick McGuire & Nikola Tarashev, 2007. "International banking with the euro," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Diemo Dietrich & Uwe Vollmer, 2010. "International Banking and Liquidity Allocation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 45-69, February.
    2. Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Working Papers 17351, National Bureau of Economic Research, Inc.
    3. Diemo Dietrich & Tobias Knedlik & Axel Lindner, 2011. "Central and Eastern European countries in the global financial crisis: a typical twin crisis?," Post-Communist Economies, Taylor & Francis Journals, vol. 23(4), pages 415-432, April.
    4. van Ewijk, Saskia E. & Arnold, Ivo J.M., 2015. "Financial integration in the euro area: Pro-cyclical effects and economic convergence," Economic Modelling, Elsevier, vol. 44(C), pages 335-342.
    5. Elias Papaioannou & Richard Portes, 2008. "The international role of the euro: a status report," European Economy - Economic Papers 2008 - 2015 317, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

  17. Nikola A. Tarashev, 2007. "Speculative Attacks and the Information Role of the Interest Rate," Journal of the European Economic Association, MIT Press, vol. 5(1), pages 1-36, March.

    Cited by:

    1. Anna Zabai, 2014. "Managing Default Risk," BIS Working Papers 467, Bank for International Settlements.
    2. Tomasz Michalski & Gilles Stoltz, 2013. "Do Countries Falsify Economic Data Strategically? Some Evidence that They Do," Working Papers hal-01903804, HAL.
    3. Giese, Julia & Nelson, Benjamin & Tanaka, Misa & Tarashev, Nikola, 2013. "Financial Stability Paper No 21: How could macroprudential policy affect financial system resilience and credit? Lessons from the literature," Bank of England Financial Stability Papers 21, Bank of England.
    4. Daniëls, Tijmen R. & Jager, Henk & Klaassen, Franc, 2009. "Defending against speculative attacks," SFB 649 Discussion Papers 2009-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Campos, Rolf, 2013. "Risk-Sharing and Crises. Global Games of Regime Change with Endogenous Wealth," IESE Research Papers D/1064, IESE Business School.
    6. Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
    7. Tomasz Michalski & Gilles Stoltz, 2013. "Do countries falsify economic data strategically? Some evidence that they might," Post-Print halshs-00482106, HAL.
    8. Xavier Vives, 2012. "Strategic Complementarity, Fragility, and Regulation," 2012 Meeting Papers 789, Society for Economic Dynamics.
    9. Chong Huang, 2018. "Coordination and social learning," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(1), pages 155-177, January.
    10. Tarashev, Nikola & Zabai, Anna, 2019. "When pegging is a commitment device: Revisiting conventional wisdom about currency crises," Journal of International Economics, Elsevier, vol. 118(C), pages 233-247.
    11. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
    12. Prati, Alessandro & Sbracia, Massimo, 2010. "Uncertainty and Currency Crises: Evidence from Survey Data," MPRA Paper 21209, University Library of Munich, Germany.
    13. Daniëls, Tijmen R. & Jager, Henk & Klaassen, Franc, 2011. "Currency crises with the threat of an interest rate defence," Journal of International Economics, Elsevier, vol. 85(1), pages 14-24, September.
    14. George-Marios Angeletos & Chen Lian, 2016. "Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination," NBER Working Papers 22297, National Bureau of Economic Research, Inc.
    15. Szkup, Michal, 2017. "Multiplier effect and comparative statics in global games of regime change," MPRA Paper 82729, University Library of Munich, Germany.
    16. Nikola A Tarashev, 2008. "Speculative attacks, Private Signals and Intertemporal Trade-offs," BIS Working Papers 254, Bank for International Settlements.

  18. Patrick McGuire & Nikola Tarashev, 2006. "Tracking international bank flows," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Iván Arribas & Jesús Peiró-Palomino & Emili Tortosa-Ausina, 2015. "Is full banking integration desirable?," Working Papers 2015/05, Economics Department, Universitat Jaume I, Castellón (Spain).
    2. Cyn Young Park & Kwanho Shin, 2018. "Global Banking Network and Regional Financial Contagion," Working Papers id:12803, eSocialSciences.
    3. Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Working Papers 17351, National Bureau of Economic Research, Inc.
    4. Ippei Fujiwara & Yuki Teranishi, 2013. "Financial Stability in Open Economies," CAMA Working Papers 2013-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Ippei Fujiwara & Yuki Teranishi, 2015. "Financal frictions and policy cooperation: a case with monopolistic banking and staggered loan contracts," Globalization Institute Working Papers 237, Federal Reserve Bank of Dallas.
    6. Pérez García Francisco & Tortosa-Ausina Emili & Arribas Fernández Iván, 2009. "The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality," Working Papers 201049, Fundacion BBVA / BBVA Foundation.
    7. Patrick McGuire & Nikola Tarashev, 2007. "Global monitoring with the BIS international banking statistics," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 176-204, Bank for International Settlements.
    8. Araújo, Tanya & Spelta, Alessandro, 2014. "Structural changes in cross-border liabilities: A multidimensional approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.
    9. Fujiwara, Ippei & Teranishi, Yuki, 2011. "Real exchange rate dynamics revisited: A case with financial market imperfections," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1562-1589.
    10. Park, Cyn-Young & Shin, Kwanho, 2020. "Contagion through National and Regional Exposures to Foreign Banks during the Global Financial Crisis," Journal of Financial Stability, Elsevier, vol. 46(C).
    11. Philip R. Lane & Gian Maria Milesi-Ferretti, 2009. "Where Did All the Borrowing Go? A Forensic Analysis of the U.S. External Position," NBER Chapters, in: Financial Globalization, 20th Anniversary Conference, NBER-TCER-CEPR, National Bureau of Economic Research, Inc.
    12. Alessandro Spelta & Tanya Araújo, 2012. "The topology of cross-border exposures: beyond the minimal spanning tree approach," Working Papers Department of Economics 2012/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    13. Kristin J. Forbes & Francis E. Warnock, 2014. "Debt-and Equity-Led Capital Flow Episodes," Central Banking, Analysis, and Economic Policies Book Series, in: Miguel Fuentes D. & Claudio E. Raddatz & Carmen M. Reinhart (ed.),Capital Mobility and Monetary Policy, edition 1, volume 18, chapter 9, pages 291-322, Central Bank of Chile.
    14. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2018. "Systemic risk assessment through high order clustering coefficient," Papers 1810.13250, arXiv.org, revised Jul 2020.
    15. Patrick McGuire & Nikola Tarashev, 2007. "International banking with the euro," BIS Quarterly Review, Bank for International Settlements, December.
    16. Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
    17. Arribas Fernández Iván & Pérez García Francisco & Tortosa-Ausina Emili, 2009. "Openness and Geographic Neutrality: How Do They Contribute to International Banking Integration?," Working Papers 201060, Fundacion BBVA / BBVA Foundation.
    18. Minoiu, Camelia & Reyes, Javier A., 2013. "A network analysis of global banking: 1978–2010," Journal of Financial Stability, Elsevier, vol. 9(2), pages 168-184.
    19. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2021. "Systemic risk assessment through high order clustering coefficient," Annals of Operations Research, Springer, vol. 299(1), pages 1165-1187, April.
    20. Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2011. "A network perspective on international banking integration," Journal of Policy Modeling, Elsevier, vol. 33(6), pages 831-851.
    21. Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.

  19. Nikola Tarashev & Kostas Tsatsaronis, 2006. "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
    2. Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.

  20. Nikola Tarashev, 2005. "Structural models of default: lessons from firm-level data," BIS Quarterly Review, Bank for International Settlements, September.

    Cited by:

    1. Aleksandra Wójcicka, 2012. "Calibration of a credit rating scale for Polish companies," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(3), pages 63-73.
    2. Allen Frankel, 2006. "Prime or not so prime? An exploration of US housing finance in the new century," BIS Quarterly Review, Bank for International Settlements, March.
    3. Aleksandra Wójcicka-Wójtowicz, 2018. "Credit risk mangement in finance - a review of various approaches," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 28(4), pages 99-106.

  21. Nikola Tarashev & Kostas Tsatsaronis & Dimitrios Karampatos, 2003. "Investors' attitude towards risk: what can we learn from options?," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    2. Philippe Dupuy, 2009. "Pure Indicator Of Risk Appetite," Australian Economic Papers, Wiley Blackwell, vol. 48(1), pages 18-33, March.
    3. Timo Daehler & Joshua Aizenman & Yothin Jinjarak, 2020. "Emerging Markets Sovereign CDS Spreads During COVID-19: Economics versus Epidemiology News," NBER Working Papers 27903, National Bureau of Economic Research, Inc.
    4. Massimiliano Affinito & Matteo Piazza, 2021. "Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
    5. Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
    6. Prasanna Gai & Nicholas Vause, 2005. "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England.
    7. Miroslav Misina, 2006. "Benchmark Index of Risk Appetite," Staff Working Papers 06-16, Bank of Canada.
    8. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    9. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
    10. Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021. "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, vol. 42(C).
    11. Laganá, Marco & Peřina, Martin & von Köppen-Mertes, Isabel & Persaud, Avinash, 2006. "Implications for liquidity from innovation and transparency in the European corporate bond market," Occasional Paper Series 50, European Central Bank.
    12. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
    13. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority.
    14. John Cairns & Corrinne Ho & Robert McCauley, 2007. "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
    15. Marie Brière & Kamal Chancari, 2004. "Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies," Revue d'économie politique, Dalloz, vol. 114(4), pages 527-555.
    16. Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
    17. Gemici, Eray & Gök, Remzi & Bouri, Elie, 2023. "Predictability of risk appetite in Turkey: Local versus global factors," Emerging Markets Review, Elsevier, vol. 55(C).

Chapters

  1. Patrick McGuire & Nikola Tarashev, 2007. "Global monitoring with the BIS international banking statistics," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 176-204, Bank for International Settlements.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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