Showing 1 - 10 of 55
We set up a model where asset price bubbles due to risk shifting can be moderated by capital requirements. However, imperfect information about the ratio of required capital, or, in the context of the sub-prime crisis, the extent of regulatory arbitrage, introduces uncertainty about the risk...
Persistent link: https://www.econbiz.de/10008577791
Small and medium-sized enterprises are a centrepiece of Europe's economy. Due to their limited size and their generally lower creditworthiness, their access to financial market instruments is more limited than for large enterprises, which benefit from more elaborate Treasury operations,...
Persistent link: https://www.econbiz.de/10011705468
Cette analyse a pour objectif de présenter les enjeux de la réassurance en France en se concentrant, au travers de deux exercices de stress tests distincts, sur le risque de contrepartie généré par les cessions de provisions. Les données réglementaires permettent la détermination d’un...
Persistent link: https://www.econbiz.de/10010929759
This study provides responses to the question of the effectiveness of Loan-To-Value (LTV) and Debt Service-To-Income (DSTI) caps to contribute to financial stability. Using a lender’s risk management perspective, the paper provides a new methodology extending the standard asymptotic single...
Persistent link: https://www.econbiz.de/10010929761
Explicit deposit insurance is a crucial ingredient of modern financial safety nets. This paper investigates the effect of deposit insurance adoption on individual bank leverage. Using a panel of banks across 117 countries during the period 1986-2011, I show that deposit insurance adoption pushes...
Persistent link: https://www.econbiz.de/10010929763
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929765
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929766
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [15], with optimal contracting between a competitive investor and an impatient bank monitoring a pool of long-term loans subject to Markovian contagion. We provide here a comprehensive mathematical...
Persistent link: https://www.econbiz.de/10010544323
This paper examines the sensitivity of non-financial corporate lending to banks' capital ratio and their supervisory capital requirements. We use a unique database for the French banking sector between 2003 and 2011 combining confidential bank-level Bank Lending Survey answers with the...
Persistent link: https://www.econbiz.de/10010815964
The paper examines a continuous-time delegated monitoring problem between a competitive investor and an impatient bank monitoring a pool of long-term loans subject to Markovian "contagion." Moral hazard induces a foreclosure bias unless the bank is compensated with the right incentive-compatible...
Persistent link: https://www.econbiz.de/10010815979