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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers
Kirschenmann, Karolin - 2018
European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10012931492
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Understanding sovereign rating movements in euro area countries
Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2017
This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric … estimation technique, based on a Bayesian ordered probit model, to understand how the decisions of rating agencies can be …
Persistent link: https://www.econbiz.de/10011637529
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A zero-risk weight channel of sovereign risk spillovers
Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - In: Journal of financial stability 51 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012431750
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Public interventions in the European banking sector : implications for financial stability and the real economy
Borchert, Lea - 2018
Persistent link: https://www.econbiz.de/10012012954
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Understanding Sovereign Rating Movements in Euro Area Countries
Bruha, Jan - 2017
This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric … estimation technique, based on a Bayesian ordered probit model, to understand how the decisions of rating agencies can be …
Persistent link: https://www.econbiz.de/10012963900
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Understanding Rating Movements in Euro Area Countries
Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2018
Persistent link: https://www.econbiz.de/10011778754
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Government guarantees and bank risk taking incentives
Fischer, Markus; Hainz, Christa; Rocholl, Jörg; … - 2014
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...
Persistent link: https://www.econbiz.de/10010257239
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Government guarantees and bank risk taking incentives
Fischer, Markus; Hainz, Christa; Rocholl, Jörg; … - 2014
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...
Persistent link: https://www.econbiz.de/10010258417
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Lender of last resort versus buyer of last resort : the impact of the European Central Bank actions on the bank-sovereign nexus
Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2016 - This version: February 29, 2016
In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks, precipitating a run on their short-term debt. We assess the effectiveness of different European Central Bank (ECB) interventions that followed – lender of last resort vs....
Persistent link: https://www.econbiz.de/10011436391