ESRB Working Paper Series

From European Systemic Risk Board
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89: The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios

Ben Craig, Margherita Giuzio and Sandra Paterlini

88: What drives sovereign debt portfolios of banks in a crisis context?

Matías Lamas and Javier Mencia

87: Pockets of risk in European housing markets: then and now

Jane Kelly, Julia Le Blanc and Reamonn Lydon

86: Systemic illiquidity in the interbank network

Sam Langfield, Zijun Liu, Tomohiro Ota and Gerardo Ferrara

85: Structural credit ratios

Benedetta Bianchi

84: Reconstructing and stress testing credit networks

Amanah Ramadiah, Fabio Caccioli and Daniel Fricke

83: Bank resolution and public backstop in an asymmetric banking union

Anatoli Segura and Sergio Vicente

82: A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example

Lukáš Pfeifer and Martin Hodula

81: The role of contagion in the transmission of financial stress

Miguel C. Herculano

80: Implications of macroeconomic volatility in the Euro area

Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer and Gregor Zens

79: Lending standards and output growth

Divya Kirti

78: Analyzing credit risk transmission to the non-financial sector in Europe: a network approach

Christian Gross and Pierre Siklos

77: Cyclical investment behavior across financial institutions

Yannick Timmer

76: Evaluating macroprudential policies

Claudia Buch, Edgar Vogel and Benjamin Weigert

75: Insurers as asset managers and systemic risk

Andrew Ellul, Chotibhak Jotikasthira, Anastasia Kartasheva, Christian T. Lundblad and Wolf Wagner

74: Regulating the doom loop

Spyros Alogoskoufis and Sam Langfield

73: Sovereign risk and bank risk-taking

Anil Ari

72: Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets

Paweł Fiedor

71: Resolving a Non-Performing Loan crisis: the ongoing case of the Irish mortgage market

Fergal McCann

70: The variance risk premium and capital structure

Babak Lotfaliei

69: When gambling for resurrection is too risky

Divya Kirti

68: Business cycles and the balance sheets of the financial and non-financial sectors

Alonso Villacorta

67: Positive liquidity spillovers from sovereign bond-backed securities

Peter Dunne

66: How effective are sovereign bond-backed securities as a spillover prevention device?

David Cronin and Peter Dunne

65: Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment

Maite De Sola Perea, Peter Dunne, Martin Puhl and Thomas Reininger

64: Short-selling bans and bank stability

Alessandro Beber, Daniela Fabbri, Marco Pagano and Saverio Simonelli

63: Banks’ maturity transformation: risk, reward, and policy

Pierluigi Bologna

62: The demand for central clearing: to clear or not to clear, that is the question

Mario Bellia, Roberto Panzica, Loriana Pelizzon and Tuomas A. Peltonen

61: Discriminatory pricing of over-the-counter derivatives

Harald Hau, Peter Hoffmann, Sam Langfield and Yannick Timmer

60: Crises in the modern financial ecosystem

Giovanni di Iasio and Zoltan Pozsar

59: ETF arbitrage under liquidity mismatch

Kevin Pan and Yao Zeng

58: Syndicated loans and CDS positioning

Iñaki Aldasoro and Andreas Barth

57: Why are banks not recapitalized during crises?

Matteo Crosignani

56: A macro approach to international bank resolution

Dirk Schoenmaker

55: Collateral scarcity premia in euro area repo markets

Claudia Guagliano and Julien Mazzacurati

54: Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market

Paweł Fiedor, Sarah Lapschies and Lucia Orszaghova

53: Two Big Distortions: Bank Incentives for Debt Financing

Jesse Groenewegen and Peter Wierts

52: Asset encumbrance, bank funding and fragility

Toni Ahnert, Kartik Anand, Prasanna Gai and James Chapman

51: The missing links: A global study on uncovering financial network structures from partial data

Kartik Anand, Iman Lelyveld, Adam Banai, Soeren Friedrich, Rodney Garratt, Grzegorz Halaj, Jose Fique, Ib Hansen, Serafín Martínez Jaramillo, Hwayun Lee, José Luis Molina-Borboa, Stefano Nobili, Sriram Rajan, Dilyara Salakhova, Thiago Silva, Laura Silvestri and Sergio Rubens Stancato de Souza

50: Equity versus bail-in debt in banking: an agency perspective

Caterina Mendicino, Kalin Nikolov and Javier Suarez

49: Wholesale funding dry-ups

Christophe Perignon, David Thesmar and Guillaume Vuillemey

48: Banking integration and house price comovement

Augustin Landier, David Sraer and David Thesmar

47: The real effects of bank capital requirements

Henri Fraisse, Mathias Lé and David Thesmar

46: Simulating fire-sales in a banking and shadow banking system

Susanna Calimani, Grzegorz Halaj and Dawid Żochowski

45: Use of unit root methods in early warning of financial crises

Timo Virtanen, Eero Tölö, Matti Virén and Katja Taipalus

44: Compressing over-the-counter markets

Marco D'Errico and Tarik Roukny

43: Coherent financial cycles for G-7 countries: Why extending credit can be an asset

Yves Schüler, Tuomas Peltonen and Paul Hiebert

42: A dynamic theory of mutual fund runs and liquidity management

Yao Zeng

41: Financial frictions and the real economy

Mario Pietrunti

40: Mapping the interconnectedness between EU banks and shadow banking entities

Jorge Abad, Marco D'Errico, Neill Killeen, Vera Luz, Tuomas Peltonen, Richard Portes and Teresa Urbano