Browsing Norges Banks vitenarkiv by Subject "systemic risk"
Now showing items 1-6 of 6
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A Composite Indicator of Systemic Stress (CISS) for Norway – a Reference Indicator for the Reduction of the Countercyclical Capital Buffer
(Staff Memo;4/2015, Working paper, 2015)This paper constructs a Composite Indicator of Systemic Stress (CISS) for Norway using a portfolio-theoretic framework as in Holló, Kremer and Lo Duca (2012) to facilitate real-time monitoring of the short-term development ... -
Central Clearing and Risk Transformation
(Working Papers;3/2017, Working paper, 2017)The clearing of over-the-counter transactions through central counterparties (CCPs), one of the pillars of financial reform following the crisis of 2007-2008, has promoted CCPs as key elements of the new global financial ... -
“Interest Rate Trap”, or: Why Does the Central Bank Keep the Policy Rate Too Low for Too Long Time?
(Working Papers;12/2011, Working paper, 2011)This paper provides a framework for modeling the risk-taking channel of monetary policy, the mechanism how financial intermediaries’ incentives for liquidity transformation are affected by the central bank’s reaction to ... -
A macroprudential contagion stress test framework
(Staff Memo;4/2020, Working paper, 2020)We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings ... -
Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
(Working Papers;13/2017, Working paper, 2017)We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing ... -
The End of the Waterfall: Default Resources of Central Counterparties
(Working Papers;16/2015, Working paper, 2015)Central counterparties (CCPs) have become pillars of the new global financial architecture following the financial crisis of 2008. The key role of CCPs in mitigating counterparty risk and contagion has in turn cast them ...