Showing 1 - 10 of 256
In the light of the recent financial crisis, the discussion on the nature of runs and on the stabilizing role of liquidity holdings has intensified. This paper explores the cash management conducted by German open-end equity funds for the period between 2005 and 2010. Since ownership structures...
Persistent link: https://www.econbiz.de/10012988654
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
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their …
Persistent link: https://www.econbiz.de/10012988829
total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri …
Persistent link: https://www.econbiz.de/10010312025
total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri …
Persistent link: https://www.econbiz.de/10012988783
We use a unique data set that comprises each bank's bids in the Eurosystem's main refinancing operations and its … that a bank's willingness-to-pay is a good indicator for the probability that this bank draws on the LOLR facility. Our …
Persistent link: https://www.econbiz.de/10012988664
In this paper we relate a bank's choice between retail and wholesale liabilities to real economic uncertainty and the … resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to … shocks in the volume of bank assets, banks facing more intense uncertainty and more volatile loan demand tend to employ more …
Persistent link: https://www.econbiz.de/10012988762
We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...
Persistent link: https://www.econbiz.de/10012988681
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10012988830
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