Showing 1 - 10 of 243
We use trades by US corporate insiders to investigate bank opacity, both in absolute terms and relative to other firms …. On average, bank insider sales do not earn an abnormal return and do not predict stock returns. By contrast, bank insider … assess bank opacity, the type of benchmark (transparency vs. other firms) and transaction/information (purchase/positive vs …
Persistent link: https://www.econbiz.de/10012928631
Loan syndication increases bank interconnectedness through co-lending relationships. We study the financial stability … on a common risk management tool such as value-at-risk (VaR). This is because a withdrawal of a bank from a syndicate can …
Persistent link: https://www.econbiz.de/10013029450
I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007-2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic importance of large dealer banks are nevertheless obvious...
Persistent link: https://www.econbiz.de/10013094788
The risk-taking effects of low interest rates, now prevailing in many advanced countries, ("search-for-yield") are hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow us to overcome both...
Persistent link: https://www.econbiz.de/10012929610
assets held by banks (eg derivatives); (ii) the degree to which a bank is capital constrained; and (iii) jurisdiction …
Persistent link: https://www.econbiz.de/10012840117
Post-crisis stress tests have helped to enhance financial stability and to reduce banks' risk-taking. In order to quantify their overall impact, regulators have turned to evaluating the effects of stress tests on financing and the real economy. Using the U.S. as a laboratory, this paper shows...
Persistent link: https://www.econbiz.de/10012857892
This study examines bank risk by investigating the equity and loan portfolio characteristics of publicly-traded bank …
Persistent link: https://www.econbiz.de/10012711779
Money markets are fundamentally different from stock markets. Stock markets are about price discovery for the purpose of allocating risk efficiently. Money markets are about obviating the need for price discovery using over-collateralised debt to reduce the cost of lending. Yet, attempts to...
Persistent link: https://www.econbiz.de/10013030036
Securitization was meant to disperse credit risk to those who were better able to bear it. In practice, securitization appears to have concentrated the risks in the financial intermediary sector itself. This paper outlines an accounting framework for the financial system for assessing the impact...
Persistent link: https://www.econbiz.de/10013094784
Banks that enjoyed generous external financial support tended to under-price risk in theinternational syndicated loan market and did not show signs of innovation in their loanparticipations. Loans arranged by such banks had on average lower spreads (controlling forrisk and other characteristics)...
Persistent link: https://www.econbiz.de/10009248827