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"Too dispersed to monitor? Ownership dispersion, monitoring and the prediction of bank distress"

Auvray, Tristan; Brossard, Olivier - HAL - 2010

concentration. Instead, we build an early warning model of bank distress that includes a leading indicator derived from banks' share …

Persistent link: https://www.econbiz.de/10009368020

How Do Banking Crises Affect Bilateral Exports?

KIENDREBEOGO, Youssouf - HAL - 2013

This paper investigates whether banking crises are associated with declines in bilateral exports. We first develop a simple open economy model in which banking crises translate into negative liquidity shocks, leading to collapses in exports through supply-side and demand-side shocks. We then...

Persistent link: https://www.econbiz.de/10010899568

Banking and Sovereign Debt Crises in a Monetary Union Without Central Bank Intervention

Cheng, Jin; Dai, Meixing; Dufourt, Frédéric - HAL - 2014

) the central bank is not allowed to provide direct financial support to stressed member states or to play the role of … lender of last resort in sovereign bond markets, and (ii) the responsibility of fighting against large scale bank runs … pessimistic investors' expectations. Without significant backstop by the central bank, the financial safety net may actually …

Persistent link: https://www.econbiz.de/10010933858

Do banking crises enhance efficiency ? A case study of 1994 Turkish and 1997 Indonesian crises

Reynaud, Julien; Rokhim, Rofikoh - HAL - 2005

Drawing together the concepts of inefficiency and banking crisis is directly inspired by business cycles theory where a crisis is the turning point from which the market/economy is recovering. If inefficiency plays a role in the occurrence of banking crisis, the post-crisis period should be the...

Persistent link: https://www.econbiz.de/10010750383

US Corporate Bond Yield Spread: A default risk debate

Shah, Syed Muhammad Noaman Ahmed; Kebewar, Mazen - HAL - 2013

According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...

Persistent link: https://www.econbiz.de/10010899951

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

Persistent link: https://www.econbiz.de/10008794771

Non-Interest Income Activities and Bank Lending

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2014

This paper investigates the impact of non-interest income businesses on bank lending. Using quarterly data on 8,287 U …

Persistent link: https://www.econbiz.de/10010930225

Inside the credit boom: Competition, Segmentation and Information - evidence from Serbian credit market

Dimitrijevic, Jasna; Najman, Boris - HAL - 2008

intermediation spreads). The sources of segmentation are in our case represented by funding costs and ultimately by bank ownership …. Using the GLS estimator on our panel dataset, we estimate the main determinants of bank interest margins as indicators of … market power on the individual bank level. Then we test the effect of foreign bank presence on overall asset quality. We use …

Persistent link: https://www.econbiz.de/10010750795

Credit Risk with asymmetric information on the default threshold

Hillairet, Caroline; Jiao, Ying - HAL - 2012

We study the impact of asymmetric information in a general credit model where the default is triggered when a fundamental diff usion process of the firm passes below a random threshold. Inspired by some recent technical default events during the fi nancial crisis, we consider the role of the...

Persistent link: https://www.econbiz.de/10010898449

Risk in Islamic Banking

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2012

This paper investigates risk and stability features of Islamic banking using a sample of 553 banks from 24 countries between 1999 and 2009. Small Islamic banks that are leveraged or based in countries with predominantly Muslim populations have lower credit risk than conventional banks. In terms...

Persistent link: https://www.econbiz.de/10010899528