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On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions … potential endogeneity which are usually inherent to research into the real economic implications of bank regulation. We find a … dependent on bank financing. Our findings are robust to various specifications. Investigating the transmission channels of the …
Persistent link: https://www.econbiz.de/10010957115
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that …
Persistent link: https://www.econbiz.de/10010957130
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10005082748
coordination of capital and risk adjustments depends on the amount of capital the bank holds in excess of the regulatory minimum …
Persistent link: https://www.econbiz.de/10005082780
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10005082801
a large, unbalanced panel of German banks including 32,023 bank-year observations. We see an increase in the use of GBR …
Persistent link: https://www.econbiz.de/10008509635
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their …
Persistent link: https://www.econbiz.de/10010984720
failures neglect the ordinal nature of bank distress. Exploiting the distress database of the Deutsche Bundesbank we …Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor … regarded as troubled to varying degrees before outright closure. But to our knowledge virtually all studies that predict bank …
Persistent link: https://www.econbiz.de/10005082759
Persistent link: https://www.econbiz.de/10003356173