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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/10011308474
sheets. We find that a distressed bank bailout, which is subject to restructuring and deleveraging conditions, leads to a …How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times …
Persistent link: https://www.econbiz.de/10012103361
sheets. We find that a distressed bank bailout, which is subject to restructuring and deleveraging conditions, leads to a …How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times …
Persistent link: https://www.econbiz.de/10012108717
Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to...
Persistent link: https://www.econbiz.de/10014501102
unweighted leverage requirements, their differential impact on bank lending, and equity buffer accumulation in excess of … regulatory minima. Tighter risk-weighted capital requirements reduce loan supply and lead to an endogenous fall in bank … profitability, reducing bank incentives to accumulate equity buffers and, therefore, increasing the incidence of bank failure …
Persistent link: https://www.econbiz.de/10011955629
A bank's decision on loan supply and capital structure determines its immediate bankruptcy risk as well as the future … availability of internal funds. These internal funds in turn determine a bank's future costs of external finance and future …-to-asset ratios, liquidity coverage ratios and regulatory margin calls on the dynamics of loan supply and bank stability. Only …
Persistent link: https://www.econbiz.de/10011918996
bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect …
Persistent link: https://www.econbiz.de/10012697959
highlight weak macro-economic conditions, lax bank supervision and individual bank weakness as the key factors …
Persistent link: https://www.econbiz.de/10013009659
We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy … bank credit. We find that banks with strong balance sheets were better able to maintain lending during the crisis. In … that strong bank balance sheets are key for the recovery of credit following crises, and provide support for regulatory …
Persistent link: https://www.econbiz.de/10010128760
assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …
Persistent link: https://www.econbiz.de/10011520642