Showing 1 - 10 of 247
banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity …. Using a dataset that contains information on critical events of German banks, we find that financing loans using fewer … customer deposits would have been associated with a higher probability of financial distress for savings banks and credit …
Persistent link: https://www.econbiz.de/10011611255
one banking relationship as long as they account for only a small share of the total loan volume of their banks. The …
Persistent link: https://www.econbiz.de/10011497725
likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … for the first time. For other banks, the maturity gap is endogenous to the decision to use swaps, but the reverse …
Persistent link: https://www.econbiz.de/10010332885
likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … for the first time. For other banks, the maturity gap is endogenous to the decision to use swaps, but the reverse …
Persistent link: https://www.econbiz.de/10012988748
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
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
banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity …. Using a dataset that contains information on critical events of German banks, we find that financing loans using fewer … customer deposits would have been associated with a higher probability of financial distress for savings banks and credit …
Persistent link: https://www.econbiz.de/10013315470
After the collapse of Lehman Brothers, a rapid and far-reaching shrinkage of international banks' assets with a focus …
Persistent link: https://www.econbiz.de/10011301346
on financial stability and the real economy. We investigate the cyclicality of SME lending by local banks with vs … maximization and a sustainable provision of financial services to local customers. We find that banks with a public mandate are 25 … percent less cyclical than other local banks. The result is credit supply-side driven and especially strong for savings banks …
Persistent link: https://www.econbiz.de/10011390945
in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports …
Persistent link: https://www.econbiz.de/10010322336