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Falato, Antonio; Iercosan, Diana; Zikes, Filip - 2018

This paper uses detailed high-frequency regulatory data to evaluate whether trading increases or decreases systemic risk in the U.S. banking sector. We estimate the sensitivity of weekly bank trading net profits to a variety of aggregate risk factors, which include equities, fixed-income,...

Persistent link: https://www.econbiz.de/10012017492

System-wide and banks' internal stress tests : regulatory requirements and literature review

Pliszka, Kamil - 2021

This paper deals with both system-wide and banks' internal stress tests. For system-wide stress tests it describes the evolution over time, compares the stress test design in major jurisdictions, and discusses academic research. System-wide stress tests have gained in importance and nowadays...

Persistent link: https://www.econbiz.de/10012534563

Bank capital buffers in a dynamic model

Mankart, Jochen; Michaelides, Alexander G.; Pagratis, Spyros - 2019

unweighted leverage requirements, their differential impact on bank lending, and equity buffer accumulation in excess of …. Tighter leverage requirements, on the other hand, increase lending, preserve bank charter value and incentives to accumulate …

Persistent link: https://www.econbiz.de/10011955629

Liquidity requirements, free-riding, and the implications for financial stability evidence from the early 1900s

Carlson, Mark; Jaremski, Matthew - 2018

Maintaining sufficient liquidity in the financial system is vital for financial stability. However, since returns on liquid assets are typically low, individual financial institutions may seek to hold fewer such assets, especially if they believe they can rely on other institutions for liquidity...

Persistent link: https://www.econbiz.de/10011927091

Voluntary equity, project risk, and capital requirements

Haufler, Andreas; Lülfesmann, Christoph - 2022 - This version: December 2022

the risk of default outweighs the cost advantages of debt financing. In this setting, banks with lower monitoring costs …

Persistent link: https://www.econbiz.de/10014476708

How do investors value the publication of tax information? : evidence from the European public country-by-country reporting

Müller, Raphael; Spengel, Christoph; Weck, Stefan - 2021 - This version: October 2021

We examine the capital market reaction to the announcement of the European Union (EU) to introduce a public tax country … extended information environment or more sustainable corporate tax strategies. In cross-sectional tests, we find that the … average investor reaction is more pronounced for firms with low effective book tax rates, indicating that reputational …

Persistent link: https://www.econbiz.de/10012648417

Leveling the playing field? : a qualitative and quantitative examination of the EU directive on public country-by-country reporting

Gundert, Hannah; Spengel, Christoph; Weck, Stefan - 2024 - This version: March 2024

to bolster tax transparency requirements for multinational enterprises (MNEs), with the objective of reducing disparities … in international tax planning potential when compared to smaller, domestic firms. However, the efficacy of public CbCR in …

Persistent link: https://www.econbiz.de/10014504851

Revisiting the finance and growth nexus : a deeper look at sectors and instruments

Unger, Robert - 2019

market financing, debt or equity financing - seems to be particularly harmful or beneficial for growth. …

Persistent link: https://www.econbiz.de/10011962798

Tapping into financial synergies : alleviating financial constraints through acquisitions

Williamson, Rohan; Yang, Jie - 2018 - This version: May, 2018

proceeds. Following acquisition, constrained acquirers raise more debt and increase investments, consistent with experiencing …

Persistent link: https://www.econbiz.de/10012016094

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075