Jose Fique

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Staff Working Papers

Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data

Staff Working Paper 2017-30 Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21

A Microfounded Design of Interconnectedness-Based Macroprudential Policy

Staff Working Paper 2016-6 Jose Fique
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.