TY - BOOK ID - 84658432 TI - Risk exposures and financial spillovers in tranquil and crisis times : bank-level evidence AU - Poirson, Helene. AU - Schmittmann, Jochen M. PY - 2013 SN - 1484383370 1484308506 1484329902 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Risk management. KW - Capital movements. KW - Capital flight KW - Capital flows KW - Capital inflow KW - Capital outflow KW - Flight of capital KW - Flow of capital KW - Movements of capital KW - Balance of payments KW - Foreign exchange KW - International finance KW - Insurance KW - Management KW - Banks and Banking KW - Finance: General KW - Financial Risk Management KW - Investments: Stocks KW - Macroeconomics KW - International Financial Markets KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - International Finance Forecasting and Simulation KW - Financial Crises KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Externalities KW - General Financial Markets: General (includes Measurement and Data) KW - Financial Institutions and Services: Government Policy and Regulation KW - Banking KW - Economic & financial crises & disasters KW - Investment & securities KW - Finance KW - Financial services law & regulation KW - Financial crises KW - Stocks KW - Spillovers KW - Stock markets KW - Financial institutions KW - Financial sector policy and analysis KW - Financial markets KW - Capital adequacy requirements KW - Financial regulation and supervision KW - Banks and banking KW - Stock exchanges KW - Asset requirements KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84658432 AB - For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any “globalization” of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions. ER -