Similar Search Results

Market discipline in banking reconsidered: the roles of deposit insurance reform, funding manager decisions and bond market liquidity

Covitz, Daniel M.; Hancock, Diana; Kwast, Myron L. - Federal Reserve Board (Board of Governors of the … - 2002

This paper demonstrates that the risk sensitivity of a banking organization's subordinated debt yield spreads may understate the potential for market discipline in some periods and overstate in others because such spreads contain liquidity premiums that are driven, in part, by the...

Persistent link: https://www.econbiz.de/10005513016

Market discipline in banking reconsidered: the roles of funding manager decisions and deposit insurance reform

Covitz, Daniel M.; Hancock, Diana; Kwast, Myron L. - Federal Reserve Board (Board of Governors of the … - 2004

We find that the risk-sensitivity of bank holding company subordinated debt spreads at issuance increased with regulatory reforms that were designed to reduce conjectural government guarantees, but declined somewhat with subsequent reforms that were aimed in part at reducing regulatory...

Persistent link: https://www.econbiz.de/10005514141

A coherent framework for stress-testing

Berkowitz, Jeremy - Federal Reserve Board (Board of Governors of the … - 1999

In recent months and years both practitioners and regulators have embraced the ideal of supplementing VaR estimates with "stress-testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard...

Persistent link: https://www.econbiz.de/10005393688

Do nonfinancial firms use interest rate derivatives to hedge?

Covitz, Daniel; Sharpe, Steven A. - Federal Reserve Board (Board of Governors of the … - 2005

We compile and analyze detailed information on the debt structure and interest rate derivative positions of … difference in derivative positions. In particular, among derivative users, smaller firms tend to have relatively more interest … derivatives. On the other hand, we find that a large fraction of the change in derivative positions over time cannot be explained …

Persistent link: https://www.econbiz.de/10005393897

Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - Federal Reserve Board (Board of Governors of the … - 2005

A structural model with stochastic volatility and jumps implies specific relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market. We use a novel approach to identify the realized jumps of individual equities from...

Persistent link: https://www.econbiz.de/10005393898

Potential competitive effects of Basel II on banks in SME credit markets in the United States

Berger, Allen N. - Federal Reserve Board (Board of Governors of the … - 2004

We examine the likely competitive effects of the proposed implementation of the Basel II capital requirements on banks in the market for credit to SMEs in the U.S. Specifically, we address whether reduced risk weights for SME credits extended by large banking organizations that adopt the...

Persistent link: https://www.econbiz.de/10005393907

An analysis of European banks SND issues and its implications for the design of a mandatory subordinated debt policy

Sironi, Andrea - Federal Reserve Board (Board of Governors of the … - 2000

During the last twenty years an increasing number of proposals to improve bank market discipline through the introduction of a mandatory subordinated debt policy have been drafted and critically discussed by academic economists and bank regulators. While theoretical issues are key in this...

Persistent link: https://www.econbiz.de/10005393994

Measuring counterparty credit exposure to a margined counterparty

Gibson, Michael S. - Federal Reserve Board (Board of Governors of the … - 2005

Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making …

Persistent link: https://www.econbiz.de/10005394106

An empirical analysis of bond recovery rates: exploring a structural view of default

Covitz, Daniel; Han, Song - Federal Reserve Board (Board of Governors of the … - 2004

A frictionless, structural view of default has the unrealistic implication that recovery rates on bonds, measured at default, should be close to 100 percent. This suggests that standard "frictions" such as default delays, corporate-valuation jumps, and bankruptcy costs may be important drivers...

Persistent link: https://www.econbiz.de/10005394205

A review of backtesting and backtesting procedures

Campbell, Sean D. - Federal Reserve Board (Board of Governors of the … - 2005

This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and independence are defined and their relation to...

Persistent link: https://www.econbiz.de/10005394206