Banking
Simone Casellina, Gaetano Chionsini, Raphael M. Kopp and Maroua Riabi, “SYSTEMATIC BACKTESTING OF PROBABILITY OF DEFAULT MODELS WITH REGULATORY DATA”
European Banking Authority, Working Paper n° 24-4/2026
Posted in: Articolo
Giu
25
2026
Abstract: Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resource-intensive. In this paper, we contribute to the quantitative validation of probability of default models through a systematic backtesting exercise using ...more »
Tagged width: banking, capital markets
Fan Dora Xia and Omar Zulaica, “Embracing carbon uncertainty in portfolio construction”
Bank for International Settlements, Working Paper n° 1362
Posted in: Articolo
Giu
25
2026
Abstract: We propose a framework for constructing fixed-income portfolios of sovereign bonds that integrates financial and environmental considerations. Central to our approach is the introduction of carbon returns, a concept analogous to financial returns, modeled as random variables to capture the inherent uncertainty of future ...more »
Tagged width: banking, capital markets
Yuteng Cheng, Jonathan Chiu, Mohammad Davoodalhosseini and Janet Hua Jiang, “Data Externalities, Market Power, and the Optimal Design of Central Bank Digital Currencies”
Bank of Canada, Working paper n° 2026-21
Posted in: Articolo
Giu
25
2026
Abstract: We study the optimal design of a central bank digital currency (CBDC) in an economy where private payment service providers (PSPs) collect and monetize transaction data and may have market power. Payments data create social benefits through law enforcement and monitoring but also impose ...more »
Tagged width: banking, blockchain, fintech
Thomas Lustenberger, Enzo Rossi and Anna Zeitz, “Central bank communication: New data and stylized facts from a century of Fed speeches”
Swiss National Bank, Working Paper n° 6/2026
Posted in: Articolo
Giu
25
2026
Abstract: Drawing on a novel dataset of more than 10,000 speeches from 1914 to 2024, we track the evolution of Federal Reserve communication and identify three stylized facts. (1) Although the overall volume of speeches has declined over the past decade, the composition of Fed ...more »
Tagged width: banking, capital markets
Walter Beckert, Peter Eccles and Paolo Siciliani, “Capital requirements and process innovation”
Bank of England, Working Paper n° 1,188
Posted in: Articolo
Giu
25
2026
Abstract: This paper investigates the relationship between the optimal level minimum capital requirements aimed at preventing moral hazard by banks and banks’ incentives to invest in process innovation aimed at improving operational efficiency. We extend Hellmann et al (2000)’s dynamic model of banking competition to ...more »
Tagged width: banking, capital markets
Negar Mohammadi Jazi and Felipe Netto, “Asymmetric information and capital regulation in SME lending:a structural model of bank and non-bank competition”
Bank of England, Working paper n° 1,191
Posted in: Articolo
Giu
25
2026
Abstract: We analyse how risk-based capital requirements shape competition and credit allocation in the UK unsecured Small and Medium-sized Enterprises (SME) lending market using confidential loan-level data. Motivated by empirical patterns, we develop and estimate a structural model with screening, asymmetric information, and imperfect competition, ...more »
Tagged width: banking, capital markets
Franz Hamann, Juan C. Mendez-Vizcaino, Enrique G. Mendoza and Paulina Restrepo-Echavarria, “Natural Resources and Sovereign Risk in Emerging Economies: A Curse and a Blessing”
FEDERAL RESERVE BANK OF ST. LOUIS, Working paper n° 2018-032E
Posted in: Articolo
Giu
25
2026
Abstract: Emerging economies that are large oil producers have sizable external debt, their sovereign risk rises when oil prices fall, and many of them have defaulted in the past. Interestingly, oil output reduces country risk on impact and in the long-run,but oil reserves increase it in ...more »
Tagged width: banking, capital markets
Iñaki Aldasoro, Sebastian Doerr, and Haonan Zhou, “Liquidity regulation and bank funding costs”
Bank for International Settlements, Working Paper n° 1352
Posted in: Articolo
Mag
29
2026
Abstract: We establish a causal link between liquidity regulation and a lower cost of bank wholesale funding. For identification, we use pre-determined variation in banks’ liquidity coverage ratio (LCR) in a difference-in-differences setup. Granular instrument-level data allow us to carefully control for any observable and ...more »
Tagged width: banking, capital markets
Nordine Abidi, Leonardo Gambacorta, Christoffer Kok, Leonardo Madio, Ixart Miquel-Flores, and Alberto Partida, “Disciplining digital risk: evidence from cyber stress tests”
Bank for International Settlements, Working Papers n° 1351
Posted in: Articolo
Mag
29
2026
Abstract: Investment in cybersecurity in an interconnected banking system has public-good proper-ties: positive externalities can generate systemic underinvestment. Using confidential supervi-sory data from the European Central Bank, we first identify “laggard” European banks that underinvest relative to their cyber-risk profiles, and then examine how supervisory ...more »
Tagged width: banking, blockchain, fintech
Yevheniia Bondarenko, Nayeon Kang, Vivien Lewis, Matthias Rottner, and Yves S. Schüler “Geopolitical Risk in the Euro Area: Measurement and Transmission”
Deutsche Bundesbank, Working Paper n° 5/2026
Posted in: Articolo
Mag
29
2026
Abstract: Geopolitical risk is a major concern for the euro area, yet widely used measures largely reflect a US perspective. We introduce a geopolitical risk indicator tailored to the euro area using local European news sources. Shocks to this index have significant recessionary and inflationary ...more »
Tagged width: banking, capital markets
