Narrow search
Showing 1 - 10 of 361
Cover Image
Persuasion by stress testing : optimal disclosure of supervisory information in the banking sector
Gick, Wolfgang; Pausch, Thilo - 2012
The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...
Persistent link: https://www.econbiz.de/10009674818
Cover Image
Risky firms and fragile banks : implications for macroprudential policy
Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024
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
Cover Image
Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
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
Cover Image
Bank capital forbearance and serial gambling
Martynova, Natalya; Perotti, Enrico C.; Suárez, Javier - 2020
We analyze the strategic interaction between undercapitalized banks and a supervisor who may intervene by preventive recapitalization. Supervisory forbearance emerges because political and fiscal costs undermine supervisors' commitment to intervene. When supervisors have lower credibility,...
Persistent link: https://www.econbiz.de/10012301221
Cover Image
Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks
Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
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
Cover Image
Bank profitability, leverage constraints, and risk-taking
Martynova, Natalya; Ratnovski, Lev; Vlahu, Razvan - 2019
Traditional theory suggests that higher bank profitability (or franchise value) dissuades bank risk-taking. We … highlight an opposite effect: higher profitability loosens bank borrowing constraints. This enables profitable banks to take … risk on a larger scale, inducing risk-taking. This effect is more pronounced when bank leverage constraints are looser, or …
Persistent link: https://www.econbiz.de/10012020122
Cover Image
Sovereign risk and bank fragility
Anand, Kartik; Mankart, Jochen - 2020
We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects … their default risks through purchases of bonds. But, for high debt levels, this influence is lost since bank and government …
Persistent link: https://www.econbiz.de/10012301195
Cover Image
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 … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …
Persistent link: https://www.econbiz.de/10012108717
Cover Image
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 … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …
Persistent link: https://www.econbiz.de/10012103361
Cover Image
Bank risk taking and competition : evidence from regional banking markets
Kick, Thomas; Prieto, Esteban - 2013
This study investigates the bank competition-stability nexus using a unique regulatory dataset provided by the Deutsche … competition, contestability and market power, each corresponding to a different contextual level of a bank's competitive … theoretical properties of the indicators for market power and competition. Using the Lerner Index as a proxy for bank …
Persistent link: https://www.econbiz.de/10009792985