Similar Search Results

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalin; O'Flynn, Kuchulain; … - 2021

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …

Persistent link: https://www.econbiz.de/10012698567

Interbank Risk Assessment – A Simulation Approach

Jager, Maximilian - 2020

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

Persistent link: https://www.econbiz.de/10012836322

Real interest rates, bank borrowing, and fragility

Ahnert, Toni; Anand, Kartik; König, Philipp Johann - 2022

How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank...

Persistent link: https://www.econbiz.de/10013465055

Effects of mergers on network models of the financial system

Nevermann, Daniel; Heckmann, Lotta - 2023

diversification of single banks and support their resilience to shocks, and may slow down contagious default. However, merger …

Persistent link: https://www.econbiz.de/10014438398

COVID-19 and the fragmentation of the European interbank market

Pala, Melissa - 2024

This paper provides evidence of a highly fragmented European interbank market that is tightened during the COVID-19 pandemic, when the interbank market was under stress. Using a unique dataset of unsecured, overnight interbank loans at the transactional level allows me to apply advanced panel...

Persistent link: https://www.econbiz.de/10014483913

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...

Persistent link: https://www.econbiz.de/10012014577

The real effects of bank distress: Evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

How does bank distress impact their customers' probability of default and trade credit availability? We address this … bank-induced increase of firms' probabilities of default. Moreover, bailouts tend to reduce trade credit availability and …

Persistent link: https://www.econbiz.de/10012105937

The fire-sale channels of universal banks in the European sovereign debt crisis

Bagattini, Giulio; Fecht, Falko; Weber, Patrick - 2019

We use a unique security-level data set to analyze correlations in bond trading of banks, their respective retail customers and their affiliated mutual funds. Matching banks' proprietary holdings with the holdings of their funds and their retail customers for the period 2009-2016 at the security...

Persistent link: https://www.econbiz.de/10012140763

Does the lack of financial stability impair the transmission of monetary policy?

Acharya, Viral V.; Imbierowicz, Björn; Steffen, Sascha; … - 2019

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan...

Persistent link: https://www.econbiz.de/10012156604

Negative monetary policy rates and systemic banks' risk-taking: Evidence from the euro area securities register

Bubeck, Johannes; Maddaloni, Angela; Peydró, José-Luis - 2020

We show that negative monetary policy rates induce systemic banks to reach-for-yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more...

Persistent link: https://www.econbiz.de/10012252869