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Screening in the credit market when the collateral value is stochastic

Niinimäki, Juha-Pekka - Suomen Pankki - 2009

This theoretical paper explores screening with loan collateral when both the collateral value and the probability of …-risk borrowers may in such case be more willing to pledge collateral than low-risk borrowers. Abundant collateral then would not … signal low risk. The results may help explain the mixed empirical findings on the role of collateral. The paper also extends …

Persistent link: https://www.econbiz.de/10005014554

Moral hazard in the credit market when the collateral value is stochastic

Niinimäki, Juha-Pekka - Suomen Pankki - 2010

This theoretical paper explores the effects of costly and non-costly collateral on moral hazard, when collateral value … may fluctuate. Given that all collateral is costly, stochastic collateral will entail the same positive incentive effects … as nonstochastic collateral, provided the variation in collateral value is modest. If it is large, the incentive effects …

Persistent link: https://www.econbiz.de/10008800750

Which financial stocks did short sellers target in the subprime crisis?

Hasan, Iftekhar; Massoud, Nadia; Saunders, Anthony; … - Suomen Pankki - 2015

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime crisis. The evidence suggests that short sellers sold short stocks that...

Persistent link: https://www.econbiz.de/10011188494

Early intervention and prompt corrective action in Europe

Mayes, David G - Suomen Pankki - 2009

The present crisis has revealed that, as expected, much of the safety net for handling failures in the banking system is deficient, particularly for cross-border banks, and the present problems had to be handled by a range of ad hoc measures. The principal new measure that needs to be undertaken...

Persistent link: https://www.econbiz.de/10004976733

Macro-model-based stress testing of Basel II capital requirements

Jokivuolle, Esa; Virolainen, Kimmo; Vähämaa, Oskari - Suomen Pankki - 2008

Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider ‘at least the effect of mild recession scenarios’. We propose a stress testing framework for minimum capital requirements in which banks’ corporate credit risks are...

Persistent link: https://www.econbiz.de/10005190782

Determinants of the loan loss allowance: some cross-country comparisons

Hasan, Iftekhar; Wall, Larry D. - Suomen Pankki - 2003

This paper analyses the determinants of banks’ loan loss allowances for samples of US banks and three non-US samples: a group of 21 countries, Canada and Japan. The model includes fundamental (or non-discretionary) determinants of the allowance such as non-performing loans, and discretionary...

Persistent link: https://www.econbiz.de/10005648830

Macro stress testing with a macroeconomic credit risk model for Finland

Virolainen, Kimmo - Suomen Pankki - 2004

In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector. The sample period includes a severe recession with significantly higher-than-average...

Persistent link: https://www.econbiz.de/10005648883

Transmission of macro shocks to loan losses in a deep crisis: the case of Finland

Jokivuolle, Esa; Viren, Matti; Vähämaa, Oskari - Suomen Pankki - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five’ crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10008509434

Law of finance: Evidence from Finland

Hyytinen, Ari; Kuosa, Iikka; Takalo, Tuomas - Suomen Pankki - 2002

Although it is widely acknowledged that the benefits of corporate governance reform could be substantial, systematic evidence on such reforms is scant. We both document and evaluate a contemporary corporate governance reform by constructing 18 measures of shareholder and creditor protection for...

Persistent link: https://www.econbiz.de/10005648951

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

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