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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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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 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
59: ETF arbitrage under liquidity mismatch Downloads
Kevin Pan and Yao Zeng
58: Syndicated loans and CDS positioning Downloads
Iñaki Aldasoro and Andreas Barth
57: Why are banks not recapitalized during crises? Downloads
Matteo Crosignani
56: A macro approach to international bank resolution Downloads
Dirk Schoenmaker
55: Collateral scarcity premia in euro area repo markets Downloads
Claudia Guagliano and Julien Mazzacurati
54: Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market Downloads
Paweł Fiedor, Sarah Lapschies and Lucia Orszaghova
53: Two Big Distortions: Bank Incentives for Debt Financing Downloads
Jesse Groenewegen and Peter Wierts
52: Asset encumbrance, bank funding and fragility Downloads
Toni Ahnert, Kartik Anand, Prasanna Gai and James Chapman
51: The missing links: A global study on uncovering financial network structures from partial data Downloads
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 Downloads
Caterina Mendicino, Kalin Nikolov and Javier Suarez
49: Wholesale funding dry-ups Downloads
Christophe Perignon, David Thesmar and Guillaume Vuillemey
48: Banking integration and house price comovement Downloads
Augustin Landier, David Sraer and David Thesmar
47: The real effects of bank capital requirements Downloads
Henri Fraisse, Mathias Lé and David Thesmar
46: Simulating fire-sales in a banking and shadow banking system Downloads
Susanna Calimani, Grzegorz Halaj and Dawid Żochowski
45: Use of unit root methods in early warning of financial crises Downloads
Timo Virtanen, Eero Tölö, Matti Virén and Katja Taipalus
44: Compressing over-the-counter markets Downloads
Marco D'Errico and Tarik Roukny
43: Coherent financial cycles for G-7 countries: Why extending credit can be an asset Downloads
Yves Schüler, Tuomas Peltonen and Paul Hiebert
42: A dynamic theory of mutual fund runs and liquidity management Downloads
Yao Zeng
41: Financial frictions and the real economy Downloads
Mario Pietrunti
40: Mapping the interconnectedness between EU banks and shadow banking entities Downloads
Jorge Abad, Marco D'Errico, Neill Killeen, Vera Luz, Tuomas Peltonen, Richard Portes and Teresa Urbano
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