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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

Leverage ratio requirement, credit allocation and bank stability

Kiema, Ilkka; Jokivuolle, Esa - Suomen Pankki - 2011

We study the effects on credit allocation and bank stability of introducing a leverage ratio requirement (LRR) on top … current 3% LRR might even reduce bank stability, counter to regulatory intentions. This is because the allocational effect … caused by the LRR, which makes bank loan portfolios more alike, may turn beneficial risk spreading into harmful risk …

Persistent link: https://www.econbiz.de/10009003108

Foreign capital and Finland

Arola, Mika - Suomen Pankki - 2006

The main objective of the study is to evaluate the Finnish central government’s foreign borrowing between the years 1862 and 1938. Most of this period was characterised by deep capital market integration that bears resemblance to the liberal world financial order at the turn of the millennium....

Persistent link: https://www.econbiz.de/10008774229

Credit allocation, capital requirements and output

Jokivuolle, Esa; Kiema, Ilkka; Vesala, Timo - Suomen Pankki - 2010

We show how banks’ excessive risk-taking, stemming from informational asymmetries in loan markets, can lead to an excessive output loss when a recession starts. Risk-based capital requirements can alleviate the output loss by reducing excessive risk-taking in ‘normal’ times. Model...

Persistent link: https://www.econbiz.de/10008774238

The feasibility of through-the-cycle ratings

Kauko, Karlo - Suomen Pankki - 2010

It has been proposed that the potential procyclicality of Basel II could be alleviated by using through-the-cycle (TTC) ratings in IRBA models. A TTC rating would be based on the structural component of the debtor’s credit risk ignoring cyclical fluctuations. This paper tests for the existence...

Persistent link: https://www.econbiz.de/10008483930

Credit allocation, capital requirements and procyclicality

Jokivuolle, Esa; Kiema, Ilkka; Vesala, Timo - Suomen Pankki - 2009

Although beneficial allocational effects have been a central motivator for the Basel II capital adequacy reform, the interaction of these effects with Basel II’s procyclical impact has been less discussed. In this paper, we investigate the effect of capital requirements on the allocation of...

Persistent link: https://www.econbiz.de/10008496441

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 …

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

A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans

Jokivuolle, Esa; Peura, Samu - Suomen Pankki - 2000

We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study: 1) the expected amount of debt recovered in the event of default as a function of collateral; and 2) the amount of collateral needed to mitigate the...

Persistent link: https://www.econbiz.de/10005207168

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

A value-at-risk approach to banks’ capital buffers: An application to the new Basel Accord

Jokivuolle, Esa; Peura, Samu - Suomen Pankki - 2001

. We analyse this claim on the basis of numerical simulations on hypothetical bank portfolios, in which the bank’s choice … cushion depends on the bank’s credit portfolio risk and its chosen approach for calculating the minimum capital requirement … post-reform bank capital. Hence these cushions should be given due consideration in the final calibration of the Basel risk …

Persistent link: https://www.econbiz.de/10005648872