Report NEP-BAN-2019-01-07

This is the archive for NEP-BAN, a report on new working papers in the area of Banking. Christian Calmès issued this report. It is usually issued weekly.

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Other reports in NEP-BAN

The following items were announced in this report:

• Dieter Wang & Iman van Lelyveld & Julia Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," DNB Working Papers 619, Netherlands Central Bank, Research Department.
• Mikael Beatriz & Jérôme Coffinet & Théo Nicolas, 2018. "Relationship lending and SMEs’ funding costs over the cycle: why diversification of borrowing matters," Working papers 705, Banque de France.
• Vincent Bouvatier & Laetitia Lepetit & Pierre-Nicolas Rehault & Frank Strobel, 2018. "Bank insolvency risk and Z-score measures: caveats and best practice," Working Papers hal-01937929, HAL.
• Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
• Nicolas Bédard & Pierre-Carl Michaud, 2018. "Playing with Fire? Debt near Retirement in Canada," CIRANO Working Papers 2018s-42, CIRANO.
• Lucia Cipolina-Kun & Ignacio Ruiz & Mariano Zero-Medina Laris, 2018. "An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk," Papers 1812.09407, arXiv.org.
• Acosta-Smith, Jonathan, 2018. "Interest rates, capital and bank risk-taking," Bank of England working papers 774, Bank of England.
• William F. Bassett & Jose M. Berrospide, 2018. "The Impact of Post Stress Tests Capital on Bank Lending," Finance and Economics Discussion Series 2018-087, Board of Governors of the Federal Reserve System (U.S.).
• Huayta, Katia & Garcia, Antonella & Sotomayor, Narda, 2018. "Competitive Environment and Financial Stability in the Peruvian Microfinance System," Working Papers 2018-005, Banco Central de Reserva del Perú.
• Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," NBER Working Papers 25405, National Bureau of Economic Research, Inc.
• Markus K. Brunnermeier & Yann Koby, 2018. "The Reversal Interest Rate," NBER Working Papers 25406, National Bureau of Economic Research, Inc.
• Asano, Koji, 2018. "Ignorant Experts and Financial Fragility," MPRA Paper 90830, University Library of Munich, Germany.
• Tamas Csabafi & Max Gillman & Ruthira Naraidoo, 2018. "International Business Cycle and Financial Intermediation," CERS-IE WORKING PAPERS 1830, Institute of Economics, Centre for Economic and Regional Studies.
• Guillaume Rocheteau & Tsz-Nga Wong & Cathy Zhang, 2018. "Lending Relationships and Optimal Monetary Policy," Purdue University Economics Working Papers 1306, Purdue University, Department of Economics.
• Nadine M Walters & Conrad Beyers & Gusti van Zyl & Rolf van den Heever, 2018. "A framework for simulating systemic risk and its application to the South African banking sector," Papers 1811.04223, arXiv.org.
• Kyungmin Kim & Antoine Martin & Ed Nosal, 2018. "Can the US Interbank Market be Revived?," Finance and Economics Discussion Series 2018-088, Board of Governors of the Federal Reserve System (U.S.).
• International Monetary Fund, 2018. "Brazil; Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis," IMF Staff Country Reports 18/344, International Monetary Fund.
• Leo de Haan & Robert Vermeulen, 2018. "The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt," DNB Working Papers 620, Netherlands Central Bank, Research Department.
• Matías Lamas & Javier Mencía, 2018. "What drives sovereign debt portfolios of banks in a crisis context?," Working Papers 1843, Banco de España.
• Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
• Matyas Barczy & Adam Dudas & Jozsef Gall, 2018. "On approximations of Value at Risk and Expected Shortfall involving kurtosis," Papers 1811.06361, arXiv.org, revised Dec 2020.