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Bank Behaviour with Access to Credit Risk Transfer Markets
Goderis, Benedikt - 2010
One of the most important recent innovations in financial markets has been the development of credit derivative … products that allow banks to more actively manage their credit portfolios than ever before. We analyse the effect that access … these markets as a control group. We find that banks that adopt advanced credit risk management techniques (proxied by the …
Persistent link: https://www.econbiz.de/10012717184
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Effects of Unobserved Defaults on Correlation between Probability of Default and Loss Given Default on Mortgage Loans
Palmroos, Peter - 2009
This paper demonstrates how the observed correlation between probability of default and loss given default depends on the fact that defaults in which collateral provides 100% recovery are not observed. Creditors see only the defaults of mortgagors who suffer from a fall in collateral value to...
Persistent link: https://www.econbiz.de/10012719016
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Model-Based Regulation and Firms' Access to Finance
Tuuli, Saara - 2019
a deterioration in their access to finance. When the sample is adjusted for the demand for credit, this estimate … increases to 12-13 percentage points. The impact is found to come via increases in the cost of credit and to a smaller extent …
Persistent link: https://www.econbiz.de/10012892680
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
Gehrig, Thomas - 2018
systemic risk (SRISK) is intimately tied to the implementation of internal models for determining credit risk as well as market …
Persistent link: https://www.econbiz.de/10012910412
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Getting Better? The Effect of the Single Supervisory Mechanism on Banks' Loan Loss Reporting and Loan Loss Reserves
Ristolainen, Kim - 2018
The recent financial crises have brought into focus questions regarding the quality of banks' assets. We study the patterns in banks reserving for and reporting of loan losses in the EU before and after implementation of the Single Supervisory Mechanism (SSM). We find that banks that 1) have...
Persistent link: https://www.econbiz.de/10012918357
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Are Too-Big-To-Fail Banks History in Europe? Evidence from Overnight Interbank Loans
Tölö, Eero - 2016
We investigate how European banks' overnight borrowing costs depend on bank size. We use the Eurosystem's proprietary interbank daily loan data on euro-denominated transactions from 2008-2014. We find that large banks have had a clear borrowing cost advantage over small banks and that this...
Persistent link: https://www.econbiz.de/10013002629
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Securitization : A Financing Vehicle for All Seasons?
Buchanan, Bonnie - 2017
credit markets, aspects of the global securitization market are now struggling to revive. In this paper I discuss the role …
Persistent link: https://www.econbiz.de/10012963439
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Bank Ownership Structure, SME Lending and Local Credit Markets
Hasan, Iftekhar - 2014
​In this paper, by employing a novel approach, we study the relationship between bank type and small-business lending in a post-transition country. Using a unique dataset on bank branches and firm-level data, we find that local cooperative banks lend more to small businesses than do large...
Persistent link: https://www.econbiz.de/10013045738
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The Net Stable Funding Ratio Requirement When Money is Endogenous
Kauko, Karlo - 2015
​The NSFR regulation reduces banks' liquidity risks by encouraging the use of deposit funding. Deposit money is created by lending, but the requirement restricts possibilities to grant loans. This contradiction may be destabilising if there is a substantial foreign debt
Persistent link: https://www.econbiz.de/10013029130
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Crisis Performance of European Banks – Does Management Ownership Matter?
Westman, Hanna - 2015
Failure in bank corporate governance has been seen as a contributing factor to excessive risk-taking pre-crisis with devastating implications as risks realised during the financial crisis. Unfortunately, the empirical evidence on the impact of managerial incentives on bank crisis performance is...
Persistent link: https://www.econbiz.de/10013031714