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Recovery rates, default probabilities and the credit cycle
Bruche, Max; Gonzalez-Aguado, Carlos - London School of Economics (LSE) - 2006
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this dependence is the result of an unobserved credit cycle: When times are bad, the default probability is high and recovery rates are low; when times are...
Persistent link: https://www.econbiz.de/10010746498
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Cyclical adjustment of capital requirements: a simple framework
Repullo, Rafael - London School of Economics (LSE) - 2013
. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank capital … welfare function that incorporates a social cost of bank failure. We consider the effect of a negative shock to the supply of … bank capital and show that optimal capital requirements should be lowered. Failure to do so would keep banks safer but …
Persistent link: https://www.econbiz.de/10011171760
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A social constructivist analysis of the 2007 banking crisis: building trust and transparency through community currencies
Breitstein, Lance; Dini, Paolo - London School of Economics (LSE) - 2011
This article examines the 2007 banking crisis from an interdisciplinary and, in particular, social constructivist perspective to identify its structural and systemic causes. After presenting and explaining a wide meta-theoretical framework that can accommodate different understandings of...
Persistent link: https://www.econbiz.de/10010884691
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Written evidence given by Professor Alexander Pepper of the London School of Economics and Political Science to the UK Parliamentary Commission on banking standards
Pepper, Alexander - London School of Economics (LSE) - 2013
My contention is that many of the current problems with 'Bankers’ Pay' have their origins in the dismantling of the formal and informal institutions which regulated the labour markets in the financial centres in London and New York prior to 1986-1987.
Persistent link: https://www.econbiz.de/10010746618
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Regulating financial market infrastructures
Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014
This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...
Persistent link: https://www.econbiz.de/10011125895
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The end of bank secrecy? An evaluation of the G20 tax haven crackdown
Johannesen, Niels; Zucman, Gabriel - London School of Economics (LSE) - 2014
bank information. Policymakers have celebrated this global initiative as the end of bank secrecy. Exploiting a unique panel … dataset, our study is the first attempt to assess how the treaties affected bank deposits in tax havens. Rather than …
Persistent link: https://www.econbiz.de/10011126343
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Modelling and forecasting UK mortgage arrears and possessions
Aron, Janine; Muellbauer, John - London School of Economics (LSE) - 2010
This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...
Persistent link: https://www.econbiz.de/10011126430
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The role of bank capital and the transmission mechanism of monetary policy
Sunirand, Pojanart - London School of Economics (LSE) - 2002
role of bank capital. The basic framework is a standard Dynamic New Keynesian model with price stickiness modified so as … bank capital in the model. In the terminology of Van den Heuvel (2001), the model exhibits the unconventional ‘bank capital … bank capital, together with that of entrepreneurial net worth, operate to amplify and propagate the effect of a monetary …
Persistent link: https://www.econbiz.de/10010884669
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Balance sheet capacity and endogenous risk
Danielsson, Jon; Song Shin, Hyun; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2011
banking sector as a whole that depends on total bank capital. Equilibrium risk and market risk premiums can be solved in … closed form as functions of aggregate bank capital. We explore the empirical properties of the model in light of recent …
Persistent link: https://www.econbiz.de/10010884614
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Multiple-bank lending: diversification and free-riding in monitoring
Carletti, Elena; Cerasi, Vittoria; Daltung, Sonja - London School of Economics (LSE) - 2004
firms and banks are subject to moral hazard and monitoring is essential. Multiple-bank lending is optimal whenever the …. The model predicts a greater use of multiple-bank lending when banks are small relative to investment projects, firms are …
Persistent link: https://www.econbiz.de/10010745086