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Disclosure, transparency, and market discipline
Freixas, Xavier; Laux, Christian - Center for Financial Studies - 2011
The aim of this paper is to examine what has been the role of information provision to the market throughout the crisis. We consider two main sources of information to the market, financial statements and information provided by credit rating agencies. We examine how these sources of information...
Persistent link: https://www.econbiz.de/10010958732
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Lessons from the European financial crisis
Pagano, Marco - Center for Financial Studies - 2014
This paper distils three lessons for bank regulation from the experience of the 2009-12 euro-area financial crisis. First, it highlights the key role that sovereign debt exposures of banks have played in the feedback loop between bank and fiscal distress, and inquires how the regulation of...
Persistent link: https://www.econbiz.de/10010961638
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The future of securitization
Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2008
Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that misaligned incentives along the value chain are the primary cause...
Persistent link: https://www.econbiz.de/10010986376
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CDOs and systematic risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009
with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …
Persistent link: https://www.econbiz.de/10010958590
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Risk transfer with CDOs
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2008
asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche …
Persistent link: https://www.econbiz.de/10010958755
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CDOs and Systematic Risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009
with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …
Persistent link: https://www.econbiz.de/10004969023
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Risk Transfer with CDOs
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2008
asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche …
Persistent link: https://www.econbiz.de/10005007636
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Mark-to-market accounting and liquidity pricing
Allen, Franklin; Carletti, Elena - Center for Financial Studies - 2006
When liquidity plays an important role as in times of financial crisis, asset prices in some markets may reflect the amount of liquidity available in the market rather than the future earning power of the asset. Mark-to-market accounting is not a desirable way to assess the solvency of a...
Persistent link: https://www.econbiz.de/10010986447
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Accounting for Financial Instruments in the Banking Industry: Conclusions from a Simulation Model
Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten - Center for Financial Studies - 2003
The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a...
Persistent link: https://www.econbiz.de/10010986482
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Mark-to-Market Accounting and Liquidity Pricing
Allen, Franklin; Carletti, Elena - Center for Financial Studies - 2006
When liquidity plays an important role as in times of financial crisis, asset prices in some markets may reflect the amount of liquidity available in the market rather than the future earning power of the asset. Mark-to-market accounting is not a desirable way to assess the solvency of a...
Persistent link: https://www.econbiz.de/10005022412