Grzegorz Halaj

National Bank of Poland

00-919 Warsaw

Poland

  • National Bank of Poland

SCHOLARLY PAPERS

6

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6

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37

Scholarly Papers (6)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank
Downloads 345 (87,955)
Citation 2

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

Contagion Effect in Banking System - Measures Based on Randomised Loss Scenarios

Journal on Economics and Finance, No. 6, pp. 69-80, 2007
Number of pages: 12 Posted: 16 Nov 2007
Grzegorz Halaj
National Bank of Poland
Downloads 156 (192,508)
Citation 2

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contagion, interbank market

3.

Optimal Asset Structure of a Bank - Bank Reactions to Stressful Market Conditions

ECB Working Paper No. 1533
Number of pages: 44 Posted: 08 May 2013
Grzegorz Halaj
National Bank of Poland
Downloads 127 (227,247)

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Portfolio optimisation, banking, stress-testing

4.

Modeling Emergence of the Interbank Networks

ECB Working Paper No. 1646
Number of pages: 41 Posted: 15 Mar 2014
Grzegorz Halaj and Christoffer Kok
National Bank of Poland and European Central Bank (ECB)
Downloads 106 (259,217)
Citation 1

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interbank network, financial contagion, counterparty risk, financial regulation

5.

Assessing Interbank Contagion Using Simulated Networks

ECB Working Paper No. 1506
Number of pages: 44 Posted: 12 Feb 2013
Grzegorz Halaj and Christoffer Kok
National Bank of Poland and European Central Bank (ECB)
Downloads 92 (284,777)
Citation 2

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Network Theory, interbank contagion, systemic risk, banking, stress-testing

6.

Strategic Groups and Banks' Performance

Financial Theory and Practice, 2009, vol. 33, issue 2, pages 153-186
Number of pages: 34 Posted: 13 Feb 2014
Grzegorz Halaj and Dawid Żochowski
National Bank of Poland and European Central Bank
Downloads 30 (475,698)

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strategic groups, financial stability, clustering, Ward algorithm, panel regression