| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14922 |
| DP14922 Is COVID-19 a threat to financial stability in Europe? | |
| Dirk Schoenmaker; Henk Jan Reinders; Mathijs Van Dijk | |
| 发表日期 | 2020-06-24 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The severe economic impact of the COVID-19 pandemic could threaten financial stability. However, assessing the gravity of this threat is challenging, since banks’ accounting-based loan loss provisions are sluggish. We use a Merton contingent claims model to provide a real-time, market valuation-based assessment of the impact of COVID-19 on euro area banks’ corporate loan portfolios. We calibrate the model based on observed stock price responses and use different scenarios for future volatility and incurred losses in case of default. Based on stock prices as of April 20, 2020, we estimate that the market-implied losses for euro area banks could reach over €1 trillion, or 4 to 25% of corporate credits’ book value (7 to 43% of available capital and reserves). Our analysis can be viewed as an early warning indicator of potential accounting losses to follow. |
| 主题 | Financial Economics |
| 关键词 | Covid-19 pandemic Stress test Financial stability Bank capital |
| URL | https://cepr.org/publications/dp14922 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543864 |
| 推荐引用方式 GB/T 7714 | Dirk Schoenmaker,Henk Jan Reinders,Mathijs Van Dijk. DP14922 Is COVID-19 a threat to financial stability in Europe?. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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