Tag Archive | "Bancos"

Paper: poniendo al Shadow Banking en el medio…

Paper: poniendo al Shadow Banking en el medio…

The Non-Bank-Bank Nexus and the Shadow Banking System

Abstract

The present way of thinking about financial intermediation does not fully incorporate the rise of asset managers as a major source of funding for banks through the shadow banking system. Asset managers are dominant sources of demand for non-M2 types of money and serve as  source collateral ‘mines’ for the shadow banking system. Banks receive funding through the re-use of pledged collateral ‘mined’ from asset managers.  Accounting for this, the size of the shadow banking system in the U.S. may be up to $25 trillion at year-end 2007 and $18 trillion at year-end 2010, higher than earlier estimates.  In terms of policy, regulators will need to consider the re-use of pledged collateral when defining bank leverage ratios. Also, given asset managers’ demand for non-M2 types of money, monitoring the shadow banking system will warrant closer attention well beyond the regulatory perimeter.

Link al Paper

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Gráfico du Jour: Liquidez de Bancos Europeos

Gráfico du Jour: Liquidez de Bancos Europeos

(Fuente ESIEB Research, via Zero Hedge)

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Gráfico du Jour: Deuda soberana, ¿Quién la tiene?

Gráfico du Jour: Deuda soberana, ¿Quién la tiene?

(Fuente: Credit Writedowns)

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Infograma du Jour: Bancos, Mega-Fusiones

Infograma du Jour: Bancos, Mega-Fusiones

(Fuente: MotherJones.com, via Felix Salmon)

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Paper: Modelizar el contagio

Heterogeneity, correlations and financial contagion

We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider the effect of targeted policies aimed at increasing the capital requirements of a few banks with high connectivity or big balance sheets. Networks with heterogeneous degree distributions are shown to be more resilient to contagion triggered by the failure of a random bank, but more fragile with respect to contagion triggered by the failure of highly connected nodes. A power law distribution of balance sheet size is shown to induce an inefficient diversification that makes the system more prone to contagion events. A targeted policy aimed at reinforcing the stability of the biggest banks is shown to improve the stability of the system in the regime of high average degree. Finally, disassortative mixing, such as that observed in real banking networks, is shown to enhance the stability of the system.

Link al Paper

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Stress Test bancos europeos 2011

Hoy -como hace un año atrás- se realizó el stress testing a la banca europea.

8 bancos estuvieron por debajo del umbral, pero podria haber sido 20:

Eight banks failed, but 20 banks would have failed but for capital raising between the starting period of the test (end of 2010) and now. EBA allowed these banks to count up this capital even if (er) there’s no actual capital there yet.

FT Alphaville

Siempre se puede cocinar…

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