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Multiple Lending, Credit Lines and Financial Contagion
Cappelletti, Giuseppe - 2017
Multiple lending has been widely investigated from both an empirical and a theoretical perspective. Nevertheless, the implications of multiple lending for the stability of the banking system still need to be understood. By lending to a common set of borrowers, banks are interconnected and then...
Persistent link: https://www.econbiz.de/10012949025
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues …
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues …
Persistent link: https://www.econbiz.de/10013131934
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The Pricing of Government-Guaranteed Bank Bonds
Levy, Aviram - 2010
the characteristics of the guarantor (credit risk, size of rescue measures, timeliness of repayments) and not those of the …
Persistent link: https://www.econbiz.de/10013138577
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Externalities in Interbank Network : Results from a Dynamic Simulation Model
Manna, Michele - 2013
In this paper we conduct a simulation run on a sample of Italian banks where a trigger shock, a one-off event fairly large in size, spreads through the interbank network in a set-up featuring among the actors both commercial banks and the authorities. The banks deleverage to comply with a...
Persistent link: https://www.econbiz.de/10013087809
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Start-Up Banks’ Default and the Role of Capital
Libertucci, Massimo - 2013
Regulation requires banks to hold a minimum capital endowment upon their establishment. But what role does initial capital play in a bank's lifecycle? This paper addresses the issue for start-up banks. We use both survival-time and binary choice models for a sample of newly-established Italian...
Persistent link: https://www.econbiz.de/10013088032
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Credit Risk and Business Cycle Over Different Regimes
Marcucci, Juri - 2008
In the recent banking literature on the relationship between credit risk and the business cycle, the presence of … asymmetric effects both across credit risk regimes and through the business cycle has been generally neglected. Employing …, determining the thresholds endogenously. Our results show that not only are the effects of the business cycle on credit risk more …
Persistent link: https://www.econbiz.de/10012723726
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Banks’ Maturity Transformation : Risk, Reward, and Policy
Bologna, Pierluigi - 2017
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit...
Persistent link: https://www.econbiz.de/10012941761
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Bank Resolution and Public Backstop in An Asymmetric Banking Union
Segura, Anatoli - 2019
This paper characterizes the optimal banking union with endogenous participation in a two-country economy in which domestic bank failures may be contemporaneous to sovereign crises, giving rise to risk-sharing motives to mutualize bail-out funding. Raising public funds to conduct bail-outs...
Persistent link: https://www.econbiz.de/10012865231
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Contagion in the CoCos Market? A Case Study of Two Stress Events
Bologna, Pierluigi - 2019
The post-crisis regulatory framework has fostered the development of the contingent convertible bonds (CoCos) market. These instruments permit banks to absorb losses as a going concern but their critics warn that they could have potentially destabilizing effects in stress situations. We analyse...
Persistent link: https://www.econbiz.de/10012865664