Showing 1 - 10 of 87
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264
The current standardized approach for assessing credit risk under Basel III depends on ratings assigned by credit rating agencies (CRAs). However, this approach presents three problems. First, the definitions of ratings used by CRAs to assess the likelihood of default and recovery rates are not...
Persistent link: https://www.econbiz.de/10011531140
This study explores the influence of funding liquidity risk and several control variables on Islamic rural banks’ asset risk in Indonesia. Our study analyzes Islamic rural banks comprising 142 Islamic banks with quarterly data from 2013: Q1 to 2018: Q4. Panel regression is then employed. We...
Persistent link: https://www.econbiz.de/10013461059
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The main objective of this paper is to examine the determinants of portfolio at risk in Palestine by analyzing the impact of macroeconomic and micro-level factors on credit risk for microfinance institutions during the period of 2010-2020. This study includes five regulated MFIs using...
Persistent link: https://www.econbiz.de/10014500691
Systemically important banks are subject to at least two departures from the neutrality of debt versus equity financing: the tax deductibility of interest payments and implicit funding subsidies. This paper fills a gap in the literature by comparing their mechanism and interaction within a...
Persistent link: https://www.econbiz.de/10011978317
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...
Persistent link: https://www.econbiz.de/10011978830
This study investigates the relationship between central bank independence and financial stability in a global sample covering 56 countries from 1980 to 2012. We find strong and robust evidence that central bank independence and its four dimensions (personnel independence, financial...
Persistent link: https://www.econbiz.de/10013435735
The present study employs the state of the art bias-corrected Malmquist Productivity Index method to examine the sources of efficiency and productivity of the foreign and domestic banks operating in the Malaysian banking sector. The preferred methodology enables us to isolate efforts to catch up...
Persistent link: https://www.econbiz.de/10010489798