ESRB Working Paper Series

From European Systemic Risk Board
60640 Frankfurt am Main, Germany.
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101: Macroprudential policy spillovers and international banking - Taking the gravity approach

Anni Norring

100: Fire-sales in frozen markets

Ehsan Ebrahimy

99: Securisation special purpose entities, bank sponsors and derivatives

Paweł Fiedor and Neill Killeen

98: Bank asset quality and monetary policy pass-through

Robert Kelly and David Byrne

97: Rethinking capital regulation: the case for a dividend prudential target

Manuel A. Muñoz

96: Optimally solving banks’ legacy problems

Anatoli Segura and Javier Suarez

95: Use of credit default swaps by UCITS funds: evidence from EU regulatory data

Claudia Guagliano, Julien Mazzacurati, Oisin Kenny and Achim Braunsteffer

94: Do information contagion and business model similarities explain bank credit risk commonalities?

Dieter Wang, Iman Lelyveld and Julia Schaumburg

93: Bank capital forbearance

Natalya Martynova, Enrico Perotti and Javier Suarez

92: The cyclicality in SICR: mortgage modelling under IFRS 9

Edward Gaffney and Fergal McCann

91: Has regulatory capital made banks safer? Skin in the game vs moral hazard

Ernest Dautović

90: Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis

Rebekka Buse, Melanie Schienle and Jörg Urban

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