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Loan Loss Provisioning and Procyclicality : Evidence from an Expected Loss Model
Domikowsky, Christian - 2016
Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …
Persistent link: https://www.econbiz.de/10012988711
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Bank Regulation and Stability : An Examination of the Basel Market Risk Framework
Alexander, Gordon J. - 2016
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10012988825
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Regulation, Credit Risk Transfer with CDS, and Bank Lending
Pausch, Thilo - 2016
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10012988772
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Credit Portfolio Modelling and its Effect on Capital Requirements
Bulbul, Dilek - 2016
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10012988834
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M-Press-CreditRisk : A Holistic Micro- and Macroprudential Approach to Capital Requirements
Tente, Natalia - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10012953401
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Pro-Cyclical Capital Regulation and Lending
Behn, Markus - 2016
We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...
Persistent link: https://www.econbiz.de/10012988720
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Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking
De Nicolo, Gianni - 2016
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U-shaped relationship between capital...
Persistent link: https://www.econbiz.de/10012988829
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International Banking and Cross-Border Effects of Regulation : Lessons from Germany
Ohls, Jana - 2016
We analyze the inward and outward transmission of regulatory changes through German banks' (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can...
Persistent link: https://www.econbiz.de/10012981901
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Mitigating Financial Stress in a Bank-Financed Economy : Equity Injections into Banks or Purchases of Assets?
Kuehl, Michael - 2016
This paper compares the consequences of equity injections into banks with purchases of corporate and government bonds in a financial crisis situation using a New Keynesian model in which non-financial firms predominantly take non-market-based debt from banks instead of issuing securities. Our...
Persistent link: https://www.econbiz.de/10012988728
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Balance Sheet Strength and Bank Lending During the Global Financial Crisis
Kapan, Tümer - 2016
We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy. Using data from the syndicated loan market, we exploit variation in banks' reliance on wholesale funding and their structural liquidity positions in 2007Q2 to estimate the...
Persistent link: https://www.econbiz.de/10012988765