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Boot, Arnoud W.A.; Ratnovski, Lev - Tinbergen Instituut - 2012

We study the effects of a bank’s engagement in trading. Traditional banking is relationship-based: not scalable, long … leads trading in banks to become increasingly risky, so that problems in managing and regulating trading in banks will …

Persistent link: https://www.econbiz.de/10011256147

The Effects of Liquidity Regulation on Bank Assets and Liabilities

Duijm, Patty; Wierts, Peter - Tinbergen Instituut - 2014

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …

Persistent link: https://www.econbiz.de/10011256455

Ranking Systemically Important Financial Institutions

Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012

We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...

Persistent link: https://www.econbiz.de/10011255476

Efficiency Gains of a European Banking Union

Schoenmaker, Dirk; Siegmann, Arjen - Tinbergen Instituut - 2013

An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another … benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic … cross-border effects within Europe are incorporated. Using a model of recapitalising banks, this paper develops indicators …

Persistent link: https://www.econbiz.de/10011255493

The Political Economy of Dominant Investors

Perotti, Enrico C.; Thadden, Ernst-Ludwig von - Tinbergen Instituut - 2004

We allow the preference of a political majority to determine boththe corporate governance structure and the division of profits betweenhuman and financial capital. In a democratic society where financialwealth is concentrated, a political majority may prefer to restraingovernance by dispersed...

Persistent link: https://www.econbiz.de/10011255534

A Capital Adequacy Buffer Model

Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10011255629

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Tinbergen Instituut - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10011255664

Can European Bank Bailouts work?

Schoenmaker, Dirk; Siegmann, Arjen - Tinbergen Instituut - 2012

this paper, we study the efficiency of different burden sharing agreements for the recapitalisation of the 30 largest banks … in Europe. We consider bank bailouts for these banks in a simulation framework with stochastic country‐specific bailout …

Persistent link: https://www.econbiz.de/10011255675

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … versus large banks. …

Persistent link: https://www.econbiz.de/10011255734

The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013

This discussion paper resulted in a publication in The North American Journal of Economics and Finance (2014). Volume 29(C), pages 381-401. This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising...

Persistent link: https://www.econbiz.de/10011255765