Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/269105 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
ECB Working Paper No. 2698
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unravelling of excess leverage can magnify banking sector distress. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises - particularly around their onset - suggesting scope to increase the precision with which macroprudential policies are calibrated.
Schlagwörter: 
Systemic Risk
Financial Crises
Portfolio Credit Risk
Multivariate DensityOptimization
Financial Cycle
JEL: 
C19
C54
E58
G01
G21
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-5283-5
Dokumentart: 
Working Paper

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