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The Valuation Effects of Geographic Diversification; Evidence From U.S. Banks

Laeven, Luc; Goetz, Martin R.; Levine, Ross - International Monetary Fund (IMF) - 2012

This paper assesses the impact of the geographic diversification of bank holding company (BHC) assets across the United States on their market valuations. Using two novel identification strategies based on the dynamic process of interstate bank deregulation, we find that exogenous increases in...

Persistent link: https://www.econbiz.de/10009654142

Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks

Makarova, Yulia; Ilyina, Anna; Schmieder, Christian; … - International Monetary Fund (IMF) - 2010

cross-border banks. Using a sample of 25 large European banking groups with subsidiaries in Central, Eastern and Southern … Europe (CESE), we analyze the impact of a CESE credit shock on the capital buffers needed by the sample banking groups under … different forms of ring-fencing. Our simulations show that under stricter forms of ring-fencing, sample banking groups have …

Persistent link: https://www.econbiz.de/10008727810

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 based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest...

Persistent link: https://www.econbiz.de/10008876595

Next Generation Balance Sheet Stress Testing

Schmieder, Christian; Hasan, Maher; Puhr, Claus - International Monetary Fund (IMF) - 2011

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main...

Persistent link: https://www.econbiz.de/10009019581

A New Heuristic Measure of Fragility and Tail Risks; Application to Stress Testing

Schmieder, Christian; Kinda, Tidiane; Taleb, Nassim N.; … - International Monetary Fund (IMF) - 2012

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

Persistent link: https://www.econbiz.de/10011242421