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To assess the risk of solvency bank runs induced by higher rates and credit losses, we expand the Uninsured Depositors Run Risk (UDRR) financial stability measure developed by Jiang et al. (2023) where we incorporate the impact of credit losses into the market-to-market asset calculation, along with the effects of higher interest rates.
20 de dic. de 2023 · Similarly, the quality of banking assets remains stable, and the cost of risk continues to be moderate at this stage, including for commercial real estate exposures. Solvency ratios at French banks remain elevated, as confirmed to by the results of the European Banking Authority (EBA)'s 2023 stress-testing exercise.
19 de may. de 2021 · A further decline in commercial real estate prices could feed through to the financial system via increased credit risk, decreased collateral values and losses on direct holdings, as well as to lower investment and economic activity by non-financial corporations.
31 de may. de 2023 · According to the May 2023 Financial Stability Review published today by the European Central Bank (ECB), the outlook for euro area financial stability remains fragile, in the context of recent banking stress outside the currency union. While economic conditions have improved slightly, uncertain growth prospects paired with persistent inflation ...
8 de may. de 2023 · Financial Stability Risks from Private Credit Funds Appear Limited . . . . . . . . . . . . 45 ... resilience of large banking organizations when there is an elevated risk of above-normal losses ... commercial real estate (CRE) valuations remained near historically high levels, even as price declines have been widespread
21 de sept. de 2023 · Commercial real estate (CRE) markets have historically been one of the main sources of banks’ losses during periods of banking sector difficulties (Ellis and Naughtin 2010). This is because CRE markets tend to be more exposed to the business and credit cycle relative to other bank assets, and supply imbalances can build due to long construction times.
31 de may. de 2023 · In the March 2023 Bank of America Global Fund Manager Survey, “systemic credit event” overtook “inflation staying high” as the key tail risk indicated by respondents. See the box entitled “ Understanding what happens when ‘angels fall ’”, Financial Stability Review, ECB, November 2020.
