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Banking leverage procyclicality : a theoretical model introducing currency diversification

Pedrono, Justine - 2017

Persistent link: https://www.econbiz.de/10011745493

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

Persistent link: https://www.econbiz.de/10014450737

Cost of Equity, Enterprise Value and Capital Regulation of Banking Firms

Masera, Rainer - 2013

must be carefully analysed before endorsing the general statement that “bank equity is not expensive”. In fact, specific … argue that market prices (notably price-to-book ratios) should play a primary role in bank supervision. To support our …-shifting phenomena on banks' assets, notably when price-to-book values are below one, may increase the overall risk of the bank, and …

Persistent link: https://www.econbiz.de/10013089413

Equity Versus Bail-In Debt in Banking : An Agency Perspective

Mendicino, Caterina; Nikolov, Kalin; Suarez, Javier - 2021

We examine the optimal size and composition of banks’ total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...

Persistent link: https://www.econbiz.de/10013248959

Equity versus bail-in debt in banking : an agency perspective

Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier - 2017

Persistent link: https://www.econbiz.de/10011686426

Optimal equity capital requirements for large Swiss banks

Junge, Georg; Kugler, Peter - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21

Ten years after the worst financial crisis of the post-war period, Switzerland has established a Too-Big-To-Fail (TBTF) framework. Under this framework, the two large Swiss banks are subject to substantial capital requirements. It is not obvious whether the TBTF capital requirements are...

Persistent link: https://www.econbiz.de/10011962864

Equity versus bail-in debt in banking : an agency perspective

Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier - 2017

We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...