Nothing Special   »   [go: up one dir, main page]

create a website
Stress Testing in a Structural Model of Bank Behavior. (2016). Siemsen, Thomas ; Galaasen, Sigurd ; D'Erasmo, Pablo ; Corbae, P. Dean ; Irarrazabal, Alfonso .
In: 2016 Meeting Papers.
RePEc:red:sed016:1315.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Welfare implications of bank capital requirements under dynamic default decisions. (2022). Ogawa, Toshiaki.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:138:y:2022:i:c:s0165188922000653.

    Full description at Econpapers || Download paper

  2. Liquidity Management of Heterogeneous Banks during the Great Recession. (2020). Ogawa, Toshiaki.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:20-e-05.

    Full description at Econpapers || Download paper

  3. Welfare Implications of Bank Capital Requirements under Dynamic Default Decisions. (2020). Ogawa, Toshiaki.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:20-e-03.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. (2014): “Methodological Note EU-wide Stress Test 2014,” Discussion paper.
    Paper not yet in RePEc: Add citation now
  2. (2015): “Revisions to the Standardised Approach for credit risk,” Consultative Document.
    Paper not yet in RePEc: Add citation now
  3. Acharya, V., I. Gujral, N. Kulkarni, and H. S. Shin (2011): “Dividends and Bank Capital in the Financial Crisis of 2009-2009,” NBER Working Paper 16896.

  4. Acharya, V., R. Engle, and D. Pierret (2014): “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,” Working Paper, NYU Stern School of Business.

  5. Allen, F., and D. Gale (2004): “Competition and Financial Stability,” Journal of Money, Credit and Banking, pp. 453–480.

  6. Bank of England (2015): “The Bank of England’s approach to stress testing the UK banking system,” October, Bank of England.
    Paper not yet in RePEc: Add citation now
  7. Barro, R. (2006): “Rare Disasters and Asset Markets in the Twentieth Century,” Quarterly Journal of Economics, 121(3), 823–866.

  8. Barro, R., and J. Ursua (2008): “Macroeconomic Crises since 1870,” Brookings Papers on Economic Activity.

  9. Basel Committee on Banking Supervision (2010): “Guidance for national authorities operating the countercyclical capital buffer,” Bank for International Settlements Communications.
    Paper not yet in RePEc: Add citation now
  10. Berry, S., J. Levinsohn, and A. Pakes (1995): “Automobile Prices in Market Equilibrium,” Econometrica, 63(4), 841–890.

  11. Bianchi, J., and S. Bigio (2014): “Banks, Liquidity Management and Monetary Policy,” Working Paper.

  12. Board of Governors of the Federal Reserve System (2013): “Dodd-Frank Act Stress Test 2013: Supervisory Stress Test Methodology and Results,” Discussion paper, Board of Governors of the Federal Reserve System.
    Paper not yet in RePEc: Add citation now
  13. Borio, C., and P. Lowe (2002): “Assessing the Risk of Banking Crises,” BIS Quarterly Review.

  14. Borio, C., M. Drehmann, and K. Tsatsaronis (2012): “Stress-tesing macro stress testing: does it love up to expectations?,” BIS Working Papers No. 369.

  15. Boyd, J., and G. D. Nicolo (2005): “The Theory of Bank Risk Taking and Competition Revisited, ” Journal of Finance, 6(1), 1329–1343.

  16. Burrows, O., D. Learmonth, and J. McKeown (2012): “RAMSI: a top-down stress-testing model,” Bank of England Financial Stability Paper No. 14.

  17. Corbae, D., and P. D’Erasmo (2014): “Capital Requirements in a Quantitative Model of Banking Industry Dynamics,” Working Paper, University of Wisconsin-Madison.
    Paper not yet in RePEc: Add citation now
  18. Covas, F. B., B. Rump, and E. Zakrajcek (2014): “Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach,” International Journal of Forecasting.
    Paper not yet in RePEc: Add citation now
  19. De Nicolo, G., A. Gamba, and M. Lucchetta (2014): “Microprudential Regulation in a Dynamic Model of Banking,” The Review of Financial Studies.

  20. Dick, A. (2008): “Demand Estimation and Consumter Welfare in the Banking Industry,” Journal of Banking & Finance, 32, 1661–1676.
    Paper not yet in RePEc: Add citation now
  21. Egan, M., A. Hortacsu, and G. Matvos (2015): “Deposit Competition and Financial Fragility: Evidence from the US Banking Sector,” Working Paper.

  22. Elizalde, A., and R. Repullo (2007): “Economic and Regulatory Capital. What is the difference ?,” International Journal of Central Banking, 3(3), 87–117.

  23. European Banking Authority (2011): “Overview of the EBA 2011 banking EU-wide stress test,” Discussion paper.
    Paper not yet in RePEc: Add citation now
  24. Foglia, A. (2009): “Stress Testing Credit Risk: A Survey of Authorities’ Approaches,” International Journal of Central Banking, 5(3), 9–45.
    Paper not yet in RePEc: Add citation now
  25. Hirtle, B., A. Kovner, J. Vickery, and M. Bhanot (2014): “The Capital and Loss Assessment under Stress Scenarios (CLASS) Model,” Federal Reserve Bank of New York Staff Report No. 663.
    Paper not yet in RePEc: Add citation now
  26. Kim, M., D. Kliger, and B. Vale (2003): “Estimating Switching Costs: The Case of Banking,” Journal of Financial Intermediation, 12(1), 25–56.

  27. Laeven, L., and F. Valencia (2012): “Systemic Banking Crises Database: An Update,” IMF Working Paper 12/163.

  28. Raknerud, A., and B. H. Vatne (2013): “The relations between bank-funding costs, retail rates, and loan volumes-Evidence form Norwegian microdata,” SSB Discussion Papers No. 742.

  29. Tauchen, G., and R. Hussey (1991): “Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset pricing Models,” Econometrica, 59(2), 317–396.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Agency Conflicts and Dividend Persistence. (2021). Dudekem, Benoit.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:60:y:2021:i:2:d:10.1007_s10693-021-00348-x.

    Full description at Econpapers || Download paper

  2. Bank Runs, Fragility, and Credit Easing. (2021). Bianchi, Javier ; Amador, Manuel.
    In: Working Papers.
    RePEc:fip:fedmwp:93466.

    Full description at Econpapers || Download paper

  3. Accounting for financial stability: Bank disclosure and loss recognition in the financial crisis. (2021). Leuz, Christian ; Laux, Christian ; Bischof, Jannis.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:3:p:1188-1217.

    Full description at Econpapers || Download paper

  4. Does gender diversity on banks boards matter? Evidence from public bailouts. (2021). Onali, Enrico ; Torluccio, Giuseppe ; Cardillo, Giovanni.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:71:y:2021:i:c:s0929119920300043.

    Full description at Econpapers || Download paper

  5. .

    Full description at Econpapers || Download paper

  6. Accounting for financial stability: Lessons from the financial crisis and future challenges. (2020). Leuz, Christian ; Laux, Christian ; Bischof, Jannis.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:283.

    Full description at Econpapers || Download paper

  7. Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation. (2020). Luong, Thi Mai.
    In: PhD Thesis.
    RePEc:uts:finphd:3-2020.

    Full description at Econpapers || Download paper

  8. Economic policy uncertainty and bank dividend policy. (2020). Tran, Dung Viet.
    In: International Review of Economics.
    RePEc:spr:inrvec:v:67:y:2020:i:3:d:10.1007_s12232-020-00344-y.

    Full description at Econpapers || Download paper

  9. Piketty, Thunberg, or Marx? Shifting ideologies in the COVID-19 bailout conditionality debate. (2020). Giuliani, Elisa.
    In: Journal of International Business Policy.
    RePEc:pal:joibpo:v:3:y:2020:i:4:d:10.1057_s42214-020-00072-8.

    Full description at Econpapers || Download paper

  10. Deposit insurance and bank dividend policy. (2020). Wilson, John ; Scholtens, Bert ; Sobiech, Anna L ; Chronopoulos, Dimitris K ; Che, Edie Erman.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:48:y:2020:i:c:s1572308920300231.

    Full description at Econpapers || Download paper

  11. Payout policy and ownership structure: The case of Islamic and conventional banks. (2020). Warsame, Mohammed H ; Jaafar, Aziz ; Duqi, Andi.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:52:y:2020:i:1:s0890838919300320.

    Full description at Econpapers || Download paper

  12. Allocating Losses: Bail-ins, Bailouts and Bank Regulation. (2020). Keister, Todd ; Mitkov, Yuliyan.
    In: ECONtribute Discussion Papers Series.
    RePEc:ajk:ajkdps:049.

    Full description at Econpapers || Download paper

  13. Dynamic Interpretation of Emerging Risks in the Financial Sector. (2019). Hoberg, Gerard ; Hanley, Kathleen Weiss.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:32:y:2019:i:12:p:4543-4603..

    Full description at Econpapers || Download paper

  14. Payout policy and ownership structure: The case of Islamic and conventional banks. (2019). Warsame, Mohammed ; Duqi, Andi ; Jaafar, Aziz.
    In: Working Papers.
    RePEc:bng:wpaper:19010.

    Full description at Econpapers || Download paper

  15. Financial Intermediation, Capital Accumulation and Crisis Recovery. (2018). Scheffel, Martin ; Gersbach, Hans ; Rochet, Jean-Charles.
    In: TSE Working Papers.
    RePEc:tse:wpaper:32399.

    Full description at Econpapers || Download paper

  16. Financial Intermediation, Capital Accumulation and Crisis Recovery. (2018). Scheffel, Martin ; Gersbach, Hans ; Rochet, Jean-Charles.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:32398.

    Full description at Econpapers || Download paper

  17. Bank dividends, agency costs and shareholder and creditor rights. (2018). Strobel, Frank ; Lepetit, L ; Wardhana, L ; Meslier, C.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:93-111.

    Full description at Econpapers || Download paper

  18. Global Banking, Trade, and the International Transmission of the Great Recession. (2018). Enders, Zeno ; Born, Alexandra.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6912.

    Full description at Econpapers || Download paper

  19. Leverage and Risk Weighted Capital Requirements. (2017). Karmakar, Sudipto ; Gambacorta, Leonardo.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0092017.

    Full description at Econpapers || Download paper

  20. Bank capital, lending and financing behaviour of dual banking systems. (2017). Louhichi, Awatef ; Boujelbene, Younes.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:41:y:2017:i:c:p:61-79.

    Full description at Econpapers || Download paper

  21. Capital regulation and the macroeconomy: Empirical evidence and macroprudential policy. (2017). Meeks, Roland.
    In: European Economic Review.
    RePEc:eee:eecrev:v:95:y:2017:i:c:p:125-141.

    Full description at Econpapers || Download paper

  22. Capturing macroprudential regulation effectiveness: A DSGE approach with shadow intermediaries. (2017). Lubello, Federico ; Rouabah, Abdelaziz.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp114.

    Full description at Econpapers || Download paper

  23. Increasing inequality, consumer credit and financial fragility in an agent based macroeconomic model. (2016). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:26:y:2016:i:1:p:25-47.

    Full description at Econpapers || Download paper

  24. Stress Testing in a Structural Model of Bank Behavior. (2016). Siemsen, Thomas ; Galaasen, Sigurd ; D'Erasmo, Pablo ; Corbae, P. Dean ; Irarrazabal, Alfonso .
    In: 2016 Meeting Papers.
    RePEc:red:sed016:1315.

    Full description at Econpapers || Download paper

  25. Leverage and Risk Weighted Capital Requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo.
    In: Working Papers.
    RePEc:ptu:wpaper:w201616.

    Full description at Econpapers || Download paper

  26. How to regulate bank dividends? Is capital regulation an answer?. (2016). Ashraf, Badar Nadeem ; Zheng, Changjun ; Bibi, Bushra .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:281-293.

    Full description at Econpapers || Download paper

  27. Financialisation and crisis in an agent based macroeconomic model. (2016). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:162-172.

    Full description at Econpapers || Download paper

  28. The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model. (2016). Żochowski, Dawid ; Kok, Christoffer ; Gross, Marco.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161888.

    Full description at Econpapers || Download paper

  29. Leverage and Risk Weighted Capital Requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11567.

    Full description at Econpapers || Download paper

  30. Leverage and risk weighted capital requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo.
    In: BIS Working Papers.
    RePEc:bis:biswps:586.

    Full description at Econpapers || Download paper

  31. The determinants of long-term debt issuance by European banks: evidence of two crises.. (2016). Yang, Jing ; Rixtel, Adrian ; Romo Gonzalez, Luna Azahara ; van Rixtel, Adrian.
    In: Working Papers.
    RePEc:bde:wpaper:1621.

    Full description at Econpapers || Download paper

  32. Predatory Short Sales and Bailouts. (2015). Kranz, Sebastian ; Posch, Peter N ; Loffler, Gunter .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:114734.

    Full description at Econpapers || Download paper

  33. Optimal Capital Requirements over the Business and Financial Cycles. (2015). Malherbe, Frederic.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1154.

    Full description at Econpapers || Download paper

  34. Dynamic Banking with Endogenous Risk Based Funding Cost: Value Maximization, Risk-taking, Responses to Regulation and Credit Contraction. (2015). Larsson, Bo ; Wijkander, Hans .
    In: Research Papers in Economics.
    RePEc:hhs:sunrpe:2015_0003.

    Full description at Econpapers || Download paper

  35. Do Asymmetric Information and Ownership Structure Matter for Dividend Payout Decisions? Evidence from European Banks. (2015). Meslier Crouzille, Celine ; Lepetit, Laetitia ; Wardhana, Leo Indra.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01186722.

    Full description at Econpapers || Download paper

  36. Payout policy through the financial crisis: The growth of repurchases and the resilience of dividends. (2015). Floyd, Eric ; Skinner, Douglas J ; Li, Nan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:299-316.

    Full description at Econpapers || Download paper

  37. Optimal capital requirements over the business and financial cycles. (2015). Malherbe, Frederic.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151830.

    Full description at Econpapers || Download paper

  38. Financial Intermediation, Capital Accumulation, and Recovery. (2015). Rochet, Jean ; Gersbach, Hans ; Scheffel, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10964.

    Full description at Econpapers || Download paper

  39. Optimal capital requirements over the business and financial cycles. (2015). Malherbe, Frederic.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10387.

    Full description at Econpapers || Download paper

  40. Basel III: Long-term Impact on Economic Performance and Fluctuations. (2015). Vlcek, Jan ; Van den Heuvel, Skander ; Locarno, Alberto ; Gerali, Andrea ; Gambacorta, Leonardo ; Cúrdia, Vasco ; CLERC, Laurent ; Angelini, Paolo ; Motto, Roberto ; Roeger, Werner ; Vlek, Jan .
    In: Manchester School.
    RePEc:bla:manchs:v:83:y:2015:i:2:p:217-251.

    Full description at Econpapers || Download paper

  41. Dynamics of Banks Capital Accumulation. (2014). Kim, Moshe ; Barnea, Emanuel.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:46:y:2014:i:4:p:779-816.

    Full description at Econpapers || Download paper

  42. Rational Dividend Addiction in Banking. (2014). D'Udekem, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/171659.

    Full description at Econpapers || Download paper

  43. Disciplinary tools and bank risk exposure. (2014). Seth, Rama ; faff, robert ; Haq, Mamiza ; Mohanty, Sunil .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:26:y:2014:i:c:p:37-64.

    Full description at Econpapers || Download paper

  44. Moral Hazard, Dividends, and Risk in Banks. (2014). Onali, Enrico.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:41:y:2014:i:1-2:p:128-155.

    Full description at Econpapers || Download paper

  45. Financialisation and Crisis in an Agent Based Macroeconomomic Model. (2013). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro.
    In: MPRA Paper.
    RePEc:pra:mprapa:51074.

    Full description at Econpapers || Download paper

  46. Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Socially Expensive. (2013). Hellwig, Martin ; DeMarzo, Peter ; Admati, Anat ; Pfleiderer, Paul.
    In: Discussion Paper Series of the Max Planck Institute for Research on Collective Goods.
    RePEc:mpg:wpaper:2013_23.

    Full description at Econpapers || Download paper

  47. Banking on Regulations?. (2012). Larsson, Bo ; Wijkander, Hans .
    In: Research Papers in Economics.
    RePEc:hhs:sunrpe:2012_0003.

    Full description at Econpapers || Download paper

  48. Countercyclical Capital Regulation and Bank Ownership Structure. (2012). Trani, Tommaso.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp14-2012.

    Full description at Econpapers || Download paper

  49. Factors determining European bank risk. (2012). Haq, Mamiza ; Heaney, Richard.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:4:p:696-718.

    Full description at Econpapers || Download paper

  50. Countercyclical capital regulation: should bank regulators use rules or discretion?. (2011). Kowalik, Michal.
    In: Economic Review.
    RePEc:fip:fedker:y:2011:i:qii:n:v.96no.2:x:1.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-27 08:34:44 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.