Narrow search
Showing 1 - 10 of 134
Cover Image
Will Islamic Banking make the World less risky? An Empirical Analysis of Capital Structure, Risk Shifting and Financial Stability
Farooq, Moazzam; Wijnbergen, Sweder van; Zaheer, Sajjad - Tinbergen Instituut - 2015
We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to take on risks than Conventional Banking Institutions (CBI). IBIs have less incentive for risk shifting both in and outside of distress situations. We test and confirm this...
Persistent link: https://www.econbiz.de/10011275100
Cover Image
The Pricing of Bank Debt Guarantees
Arping, Stefan - Tinbergen Instituut - 2009
We analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution framework. We show that the desirability of fair pricing of guarantees depends on the degree of transparency of the banking sector: in relatively opaque banking systems, fair...
Persistent link: https://www.econbiz.de/10011256238
Cover Image
Capital Regulation and Tail Risk
Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - Tinbergen Instituut - 2011
The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...
Persistent link: https://www.econbiz.de/10011257356
Cover Image
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
Cover Image
Insurance Sector Risk
Slijkerman, Jan Frederik - Tinbergen Instituut - 2006
We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...
Persistent link: https://www.econbiz.de/10011255587
Cover Image
Cocos, Contagion and Systemic Risk
Chan, Stephanie; Wijnbergen, Sweder van - Tinbergen Instituut - 2014
CoCo’s (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...
Persistent link: https://www.econbiz.de/10011255852
Cover Image
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Lucas, Andre; Schwaab, Bernd; Zhang, Xin - Tinbergen Instituut - 2013
We develop a novel high-dimensional non-Gaussian modeling framework to infer conditional and joint risk measures for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence parameters...
Persistent link: https://www.econbiz.de/10011255874
Cover Image
A Pigovian Approach to Liquidity Regulation
Perotti, Enrico; Suarez, Javier - Tinbergen Instituut - 2011
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either … overconfidence), excess credit and liquidity risk are best controlled with net fundingratios. Taxes on short-term funding emerge …
Persistent link: https://www.econbiz.de/10011256463
Cover Image
Systemic Risk Diagnostics
Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - Tinbergen Instituut - 2010
A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...
Persistent link: https://www.econbiz.de/10011256905
Cover Image
Short-Selling, Leverage and Systemic Risk
Pais, Amelia; Stork, Philip A. - Tinbergen Instituut - 2013
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that “bear raids”, driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions...
Persistent link: https://www.econbiz.de/10011257043