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Bank Funding Structures and Risk; Evidence From the Global Financial Crisis
Federico, Pablo; Vázquez, Francisco F. - International Monetary Fund (IMF) - 2012
This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001?09. The results show that banks with...
Persistent link: https://www.econbiz.de/10009650626
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Bank Ownership, Market Structure and Risk
Nicoló, Gianni De; Loukoianova, Elena - International Monetary Fund (IMF) - 2007
relationship between banks' risk of failure, market structure, bank ownership, and banks' screening and bankruptcy costs. These … model rationalizes this evidence if both state-owned and foreign banks have either larger screening and/or lower bankruptcy … costs than private domestic banks, banks' differences in market shares, screening or bankruptcy costs are not too large, and …
Persistent link: https://www.econbiz.de/10005826093
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Bank Competition, Risk and Asset Allocations
Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009
We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...
Persistent link: https://www.econbiz.de/10008528611
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The Need for Special Resolution Regimes for Financial Institutions; The Case of theeuropean Union
Cihák, Martin; Nier, Erlend - International Monetary Fund (IMF) - 2009
The global financial crisis has demonstrated weaknesses in resolution regimes for financial institutions around the globe, including in the European Union (EU). This paper considers the principles underlying resolution regimes for financial institutions, and draws out how a well-designed...
Persistent link: https://www.econbiz.de/10008528635
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Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties
Aitken, James; Singh, Manmohan - International Monetary Fund (IMF) - 2009
Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year. We estimate that the...
Persistent link: https://www.econbiz.de/10008528640
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The Impact of Legislationon Credit Risk; Comparative Evidence From the United States, the United Kingdom and Germany
Schmieder, Philipp; Schmieder, Christian - International Monetary Fund (IMF) - 2011
This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks …
Persistent link: https://www.econbiz.de/10008876595
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Probabilities of Default and the Market Price of Risk in a Distressed Economy
Basurto, Miguel A. Segoviano; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2011
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the...
Persistent link: https://www.econbiz.de/10009019585
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Bank Resolution Costs, Depositor Preference, and Asset Encumbrance
Hardy, Daniel C. - International Monetary Fund (IMF) - 2013
that arises in case of resolution or bankruptcy. This net benefit, which may be capitalized into the value of the bank …
Persistent link: https://www.econbiz.de/10011123844