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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …
Persistent link: https://www.econbiz.de/10010308265
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The Winner's Curse : Evidence on the Danger of Aggressive Credit Growth in Banking
Kick, Thomas K. - 2016
growth known from macroeconomics to identify credit booms and test our model for German bank and bankportfolio level data …
Persistent link: https://www.econbiz.de/10012988673
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Banks, Markets, and Financial Stability
Eder, Armin - 2016
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10012988724
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Regulation, Credit Risk Transfer with CDS, and Bank Lending
Pausch, Thilo - 2016
lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …
Persistent link: https://www.econbiz.de/10012988772
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The winner's curse: Evidence on the danger of aggressive credit growth in banking
Kick, Thomas; Pausch, Thilo; Ruprecht, Benedikt - 2015
growth known from macroeconomics to identify credit booms and test our model for German bank and bankportfolio level data …
Persistent link: https://www.econbiz.de/10011335979
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Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010435200
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Persuasion by Stress Testing : Optimal Disclosure of Supervisory Information in the Banking Sector
Gick, Wolfgang - 2016
The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...
Persistent link: https://www.econbiz.de/10012988806