Similar Search Results

Securitization and lending standards: evidence from the wholesale loan market

Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - European Central Bank - 2011

We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10009216682

Securitization, bank lending and credit quality: the case of Spain

Carbó-Valverde, Santiago; Marqués-Ibáñez, David; … - European Central Bank - 2011

illustrative: this country experienced a pronounced housing bubble partly funded via spectacular developments in its securitization …

Persistent link: https://www.econbiz.de/10009003443

Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards

Maddaloni, Angela; Peydró, José-Luis - European Central Bank - 2010

securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …

Persistent link: https://www.econbiz.de/10008678673

Housing Finance in the Euro Area.

Drudi, Francesco; Köhler-Ulbrich, Petra; Protopapa, Marco - European Central Bank - 2009

1999 to 2007. It looks at mortgage indebtedness, various characteristics of loans for house purchase, the funding of such …

Persistent link: https://www.econbiz.de/10004969142

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10005344818

Global macro-financial shocks and expected default frequencies in the euro area

Castrén, Olli; Dées, Stéphane; Zaher, Fadi - European Central Bank - 2008

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and constructing a linking satellite equation for the firm-level...

Persistent link: https://www.econbiz.de/10005344829

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10008549311

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - European Central Bank - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10008478976

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - European Central Bank - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10005002780

Determinants of euro term structure of credit spreads

Van Landschoot, Astrid - European Central Bank - 2004

In this paper, we investigate the determinants of the Euro term structure of credit spreads. More specifically, we analyze whether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. According to the...

Persistent link: https://www.econbiz.de/10005530906