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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

means that, surprisingly, the association between stock prices and spreads of the banking sector does not seem to surge in …

Persistent link: https://www.econbiz.de/10010956052

International banking standards in emerging markets: testing the adaptation thesis in the European Union

Kudrna, Zdenìk; Medzihorsky, Juraj - Institut ekonomických studií, Univerzita Karlova v Praze - 2012

that international banking standards need to be adapted to emerging market circumstances. On the basis of World Bank … political and economic volatility. Hence, the new generation of international banking standards should recognize these …

Persistent link: https://www.econbiz.de/10010541190

How Resilient is the German Banking System to Macroeconomic Shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …

Persistent link: https://www.econbiz.de/10005818895

A tale of two debt crises: a stochastic optimal control analysis

Stein, Jerome L. - Institut für Weltwirtschaft (IfW) - 2009

Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...

Persistent link: https://www.econbiz.de/10008561122

Do mergers improve information? Evidence from the loan market

Panetta, Fabio; Schivardi, Fabiano; Shum, Matthew - Banca d'Italia - 2004

We examine the informational effects of M&As by investigating whether bank mergers improve banksï¿½ ability to screen borrowers. By exploiting a dataset in which we observe a measure of a borrowerï¿½s default risk that the lenders observe only imperfectly, we find evidence of these...

Persistent link: https://www.econbiz.de/10005770757

Stress Testing of Probability of Default of Individuals

Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators such as wages,...

Persistent link: https://www.econbiz.de/10005808661

A Model of Human Capital, Time Discounting and Economic Growth

Bauer, Michal; Chytilová, Julie - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

Endogenous time discounting is introduced in a two-period human-capital-driven growth model: subjective discount rate depends upon the level of human capital. This assumption accords strongly with the micro-level evidence. In the model an individual optimizes consumption over two periods. Low...

Persistent link: https://www.econbiz.de/10005808662

Credit Risk in the Czech Economy

Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2007

purpose of stress testing. The results of this study can be used for stress testing of banking sector. …

Persistent link: https://www.econbiz.de/10005698656

Behavioral Foundations of Microcredit: Experimental and Survey Evidence From Rural India

Bauer, Michal; Chytilová, Julie; Morduch, Jonathan - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper draws a link between self-control problems and the contractual mechanisms of microcredit. We use a series of “lab experiments in the field” which were designed to elicit measures of time discounting on a sample of 573 individuals in rural Karnataka, India. Evidence from the...

Persistent link: https://www.econbiz.de/10005698684

The Pros and Cons of Banking Socialism

Gregor, Martin - Institut ekonomických studií, Univerzita Karlova v Praze - 2007

When nominal wage rigidity is large, and banking sector oligopolistic, the benevolent government may prefer to regulate … derive conditions under which the banking socialism (the government owns banks, but privatizes enterprises) dominates other …

Persistent link: https://www.econbiz.de/10005698693