Browsing Norges Banks vitenarkiv by Author "Schaanning, Eric"

Now showing items 1-3 of 3

    • Fire Sales, Indirect Contagion and Systemic Stress Testing 

      Cont, Rama; Schaanning, Eric (Working Papers;2/2017, Working paper, 2017)
      We present a framework for quantifying the impact of fi re sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may ...

    • Key Indicators for a Countercyclical Capital Buffer in Norway - Trends and Uncertainty 

      Gerdrup, Karsten R.; Kvinlog, Aslak Bakke; Schaanning, Eric (Staff Memo;13/2013, Working paper, 2013)
      The credit-to-GDP gap has a prominent role in the Basel Committee's frame- work for a countercyclical capital buffer under Basel III. The Committee uses a one-sided Hodrick-Prescott filter to calculate the trend of ...

    • Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities 

      Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie (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 ...