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Catharsis - The Real Effects of Bank Insolvency and Resolution
Korte, Josef - 2013
In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, and may lead to suboptimal real economic outcomes. A...
Persistent link: https://www.econbiz.de/10013087590
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Catharsis - the Real Effects of Bank Insolvency and Resolution
Korte, Josef - 2016
In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, leading to suboptimal real economic outcomes. A rules-based...
Persistent link: https://www.econbiz.de/10012988785
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Market timing, maturity mismatch, and risk management: Evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
We investigate financial intermediaries' interest rate risk management as the simultaneous decision of on …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …
Persistent link: https://www.econbiz.de/10010332885
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Market Timing, Maturity Mismatch, and Risk Management : Evidence from the Banking Industry
Ruprecht, Benedikt - 2016
We investigate financial intermediaries' interest rate risk management as the simultaneous decision of on …-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …
Persistent link: https://www.econbiz.de/10012988748
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What are the real effects of financial market liquidity? Evidence on bank lending from the euro area
Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018
We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …
Persistent link: https://www.econbiz.de/10011902081
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Contingent convertible bonds and the stability of bank funding: The case of partial writedown
Bleich, Dirk - 2014
This paper adds to the growing body of literature on the design of Contingent Convertible Bonds (CoCos). We discuss how the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion-to-Equity (CE) CoCos, Principal WriteDown (PWD) CoCos with...
Persistent link: https://www.econbiz.de/10010435206
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Maturity shortening and market failure
Thierfelder, Felix - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010308262
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10010312025
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Restructuring Counterparty Credit Risk
Albanese, Claudio - 2016
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10012988783
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Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks
Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
experience of the financial crisis by integrating the current low interest rate environment, we analyse the stress impact on …
Persistent link: https://www.econbiz.de/10011307512