Showing 1 - 10 of 115
We study the impact of disclosure about bank fundamentals on depositors' behavior in the presence (and absence) of … disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks … with strong fundamentals benefit from more precise disclosure, an opposing effect is present for solvent banks with weaker …
Persistent link: https://www.econbiz.de/10012614208
We study the effect of collateral eligibility of corporate loans on the pricing of these loans by banks in Finland. Speciftcally, we investigate whether loans that are pledgeable as collateral for central bank borrowing have lower liquidity premia and thus lower interest rates. For...
Persistent link: https://www.econbiz.de/10014581729
We study public funding of banks and non-financial firms in a time of crisis. We find that bank capitalization is more effective in stabilizing the economy than direct funding to firms, but it also creates larger distortions. We show that the optimal, social-welfare-maximizing, structure of a...
Persistent link: https://www.econbiz.de/10013267914
Over 2010-2016, municipal debt in Germany crowded out private investment worth 1 percent of GDP. Forced to lend to municipalities by their statutes, local public banks compensated for declining municipal-debt yields by charging higher rates to firms in Germany's locally segmented credit markets....
Persistent link: https://www.econbiz.de/10013357504
Extending a standard credit-risk model illustrates that a single factor can drive both expected losses and the extent to which they may be exceeded in extreme scenarios, ie "unexpected losses." This leads us to develop a framework for forecasting these losses jointly. In an application to...
Persistent link: https://www.econbiz.de/10012614212
We study the optimal precision of public information disclosures about banksíassets quality. In our model the precision of information a§ects banksí cost of raising funding and asset proÖle riskiness. In an imperfectly competitive banking sector, banksístability and social surplus are...
Persistent link: https://www.econbiz.de/10012614222
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches increases, expected losses decouple from unexpected...
Persistent link: https://www.econbiz.de/10012815313
public disclosure of stress test results, raise funding by promising investors a repayment. We show that competition forces …
Persistent link: https://www.econbiz.de/10014466959
timing of information disclosure, and find that they may lack the incentive to reveal information about their banks. …
Persistent link: https://www.econbiz.de/10012147953
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk.In this paper, we propose a simplified formula to price bank's corporate loans, aiming at making bank...
Persistent link: https://www.econbiz.de/10012147959