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ESRB Working Paper Series

From European Systemic Risk Board
60640 Frankfurt am Main, Germany.
Contact information at EDIRC.

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109: A dynamic network model to measure exposure diversification in the Austrian interbank market Downloads
Juraj Hledik and Riccardo Rastelli
108: The network of firms implied by the news Downloads
Hannan Zheng and Gustavo Schwenkler
107: Regulating financial networks under uncertainty Downloads
Carlos Ramírez
106: Electoral cycles in macroprudential regulation Downloads
Karsten Müller
105: Shadow banking and financial stability under limited deposit insurance Downloads
Lukas Voellmy
104: The effects of capital requirements on good and bad risk-taking Downloads
N. Aaron Pancost and Roberto Robatto
103: Interactions between bank levies and corporate taxes: How is the bank leverage affected? Downloads
Franziska Bremus, Kirsten Schmidt and Lena Tonzer
102: Exposition, climax, denouement: Life-cycle evaluation of the recent financial crisis in the EU by linking the ESRB financial crisis database to the European Commission's Macroeconomic Imbalance Procedure Scoreboard Downloads
Szilárd Erhart
101: Macroprudential policy spillovers and international banking - Taking the gravity approach Downloads
Anni Norring
100: Fire-sales in frozen markets Downloads
Ehsan Ebrahimy
99: Securisation special purpose entities, bank sponsors and derivatives Downloads
Paweł Fiedor and Neill Killeen
98: Bank asset quality and monetary policy pass-through Downloads
Robert Kelly and David Byrne
97: Rethinking capital regulation: the case for a dividend prudential target Downloads
Manuel A. Muñoz
96: Optimally solving banks’ legacy problems Downloads
Anatoli Segura and Javier Suarez
95: Use of credit default swaps by UCITS funds: evidence from EU regulatory data Downloads
Claudia Guagliano, Julien Mazzacurati, Oisin Kenny and Achim Braunsteffer
94: Do information contagion and business model similarities explain bank credit risk commonalities? Downloads
Dieter Wang, Iman Lelyveld and Julia Schaumburg
93: Bank capital forbearance Downloads
Natalya Martynova, Enrico Perotti and Javier Suarez
92: The cyclicality in SICR: mortgage modelling under IFRS 9 Downloads
Edward Gaffney and Fergal McCann
91: Has regulatory capital made banks safer? Skin in the game vs moral hazard Downloads
Ernest Dautovic
90: Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis Downloads
Rebekka Buse, Melanie Schienle and Jörg Urban
89: The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios Downloads
Ben Craig, Margherita Giuzio and Sandra Paterlini
88: What drives sovereign debt portfolios of banks in a crisis context? Downloads
Matías Lamas and Javier Mencia
87: Pockets of risk in European housing markets: then and now Downloads
Jane Kelly, Julia Le Blanc and Reamonn Lydon
86: Systemic illiquidity in the interbank network Downloads
Sam Langfield, Zijun Liu, Tomohiro Ota and Gerardo Ferrara
85: Structural credit ratios Downloads
Benedetta Bianchi
84: Reconstructing and stress testing credit networks Downloads
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
83: Bank resolution and public backstop in an asymmetric banking union Downloads
Anatoli Segura and Sergio Vicente
82: A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example Downloads
Lukáš Pfeifer and Martin Hodula
81: The role of contagion in the transmission of financial stress Downloads
Miguel C. Herculano
80: Implications of macroeconomic volatility in the Euro area Downloads
Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer and Gregor Zens
79: Lending standards and output growth Downloads
Divya Kirti
78: Analyzing credit risk transmission to the non-financial sector in Europe: a network approach Downloads
Christian Gross and Pierre Siklos
77: Cyclical investment behavior across financial institutions Downloads
Yannick Timmer
76: Evaluating macroprudential policies Downloads
Claudia M. Buch, Edgar Vogel and Benjamin Weigert
75: Insurers as asset managers and systemic risk Downloads
Andrew Ellul, Chotibhak Jotikasthira, Anastasia Kartasheva, Christian T. Lundblad and Wolf Wagner
74: Regulating the doom loop Downloads
Spyros Alogoskoufis and Sam Langfield
73: Sovereign risk and bank risk-taking Downloads
Anil Ari
72: Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets Downloads
Paweł Fiedor
71: Resolving a Non-Performing Loan crisis: the ongoing case of the Irish mortgage market Downloads
Fergal McCann
70: The variance risk premium and capital structure Downloads
Babak Lotfaliei
69: When gambling for resurrection is too risky Downloads
Divya Kirti
68: Business cycles and the balance sheets of the financial and non-financial sectors Downloads
Alonso Villacorta
67: Positive liquidity spillovers from sovereign bond-backed securities Downloads
Peter Dunne
66: How effective are sovereign bond-backed securities as a spillover prevention device? Downloads
David Cronin and Peter Dunne
65: Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment Downloads
Maite De Sola Perea, Peter Dunne, Martin Puhl and Thomas Reininger
64: Short-selling bans and bank stability Downloads
Alessandro Beber, Daniela Fabbri, Marco Pagano and Saverio Simonelli
63: Banks’ maturity transformation: risk, reward, and policy Downloads
Pierluigi Bologna
62: The demand for central clearing: to clear or not to clear, that is the question Downloads
Mario Bellia, Roberto Panzica, Loriana Pelizzon and Tuomas A. Peltonen
61: Discriminatory pricing of over-the-counter derivatives Downloads
Harald Hau, Peter Hoffmann, Sam Langfield and Yannick Timmer
60: Crises in the modern financial ecosystem Downloads
Giovanni di Iasio and Zoltan Pozsar
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