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Ex Ante Capital Position, Changes in the Different Components of Regulatory Capital and Bank Risk
Camara, B.; Lepetit, L.; Tarazi, A. - Banque de France - 2013
We investigate the impact of changes in capital of European banks on their risk-taking behavior from 1992 to 2006, a … capital banks hold. First, we assume that risk changes depend on banks' ex ante regulatory capital position. Second, we … consider the impact of an increase in each component of regulatory capital on banks? risk changes. We find that, for highly …
Persistent link: https://www.econbiz.de/10010929762
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Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.
Dumontaux, N.; Pop, A. - Banque de France - 2013
The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...
Persistent link: https://www.econbiz.de/10010631356
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Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.
Gabrieli, S. - Banque de France - 2012
What influences banks’ borrowing costs in the unsecured money market? The objective of this paper is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow...
Persistent link: https://www.econbiz.de/10010575494
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What is the information content of the SRISK measure as a supervisory tool?
Tavolaro, S.; Visnovsky, F. - Banque de France - 2014
The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...
Persistent link: https://www.econbiz.de/10010929760
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Deposit Insurance Adoption and Bank Risk-Taking: the Role of Leverage
Lé, M. - Banque de France - 2013
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
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Regulatory changes and the cost of equity:evidence from French banks
Bandt, 0. De; Camara, B.; Pessarossi, P.; Rose, M. - Banque de France - 2014
In the paper, we first investigate the impact of an increase in capital requirements on the equity risk (beta) of … listed banks in France. We find that an increase in capital ratios reduces banks’ systematic risk. This leads to a decrease …’ liquidity risk into account. …
Persistent link: https://www.econbiz.de/10010929764
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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
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
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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
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
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The Real Effects of Bank Capital Requirements
Brun, M.; Fraisse, H.; Thesmar, D. - Banque de France - 2013
firms, under Basel 2, it depends in a predictable way on both the bank's model and the firm's risk. We exploit this two …
Persistent link: https://www.econbiz.de/10010929767
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Les risques du Shadow banking en Europe : le point de vue du superviseur bancaire
Nouy, D. - Banque de France - 2013
Face aux défis soulevés par le Shadow banking en termes de stabilité financière, l?article aborde deux questions de fond. D?une part, il présente les risques posés par le Shadow banking et montre que le Shadow banking est porteur de risques intrinsèques et d?interactions complexes avec le...
Persistent link: https://www.econbiz.de/10010929768