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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

Differential taxation and firms' financial leverage : evidence from the introduction of a flat tax on interest income

Fossen, Frank M.; Simmler, Martin - 2012

such differential taxation on the debt ratio of firms. We exploit a 2009 tax reform in Germany as a quasi-experiment, which … leverage when the tax rate on interest income decreases, albeit to a small degree. -- Income taxation ; capital taxation …Tax competition for the mobile factor capital has led to a trend in many countries to levy lower taxes on interest …

Persistent link: https://www.econbiz.de/10009510579

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

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

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

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

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

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/10009528878

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

Cash holdings of German open-end equity funds : does ownership matter?

Dötz, Niko; Weth, Mark - 2013

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/10010202775