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Potential implications of a NSFR on German banks' credit supply and profitability

Schmitt, Matthias; Schmaltz, Christian - 2016

We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the … profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we … find that 9% of German banks do not comply with the NSFR (2014). This is a significant reduction compared to the 39% that …

Persistent link: https://www.econbiz.de/10011541056

The role of structural funding for stability in the German banking sector

Schupp, Fabian; Silbermann, Leonid - 2017

We analyze whether, and if so by how much, stable funding would have contributed to the financial soundness of German banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity mismatches in the wake of the financial crisis via the Net...

Persistent link: https://www.econbiz.de/10011608695

Implications of bank regulation for loan supply and bank stability : a dynamic perspective

Bucher, Monika; Dietrich, Diemo; Hauck, Achim - 2018

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 vulnerability to bankruptcy risks. We study these...

Persistent link: https://www.econbiz.de/10011918996

An integrated shortfall measure for Basel III

Torchiani, Ingo; Heidorn, Thomas; Schmaltz, Christian - 2017

We propose a new method for measuring how far away banks are from complying with a multi-ratio regulatory framework. We suggest measuring the efforts a bank has to make to reach compliance as an additional portfolio which is derived from a microeconomic banking model. This compliance portfolio...

Persistent link: https://www.econbiz.de/10011722654

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

Persistent link: https://www.econbiz.de/10009509090

Macroprudential policy and the sovereign-bank nexus in the euro area

Hristov, Nikolay; Hülsewig, Oliver; Kolb, Benedikt - 2021

We explore how changes in capital-based macroprudential regulation affect theexposure of national banking sectors to domestic government debt in the euro area,thus strengthening or weakening the sovereign-bank nexus. To do so, we construct ameasure of macroprudential policy based on...

Persistent link: https://www.econbiz.de/10012623677

Effects of bank capital requirements on lending by banks and non-bank financial institutions

Bednarek, Peter; Briukhova, Olga; Ongena, Steven; … - 2023

What is the impact of a sudden and sizeable increase in bank capital requirements on the lending activity by directly affected banks and by non-affected non-bank financial institutions (NBFIs)? To answer this question, we apply a difference-in-differences methodology around the capital exercise...

Persistent link: https://www.econbiz.de/10014384399

Support for the SME supporting factor : multi-country empirical evidence on systematic risk factor for SME loans

Dietsch, Michel; Düllmann, Klaus; Fraisse, Henri; … - 2016

Using a unique and comprehensive data set on the two largest economies of the Eurozone - France and Germany - this paper first proceeds to a computation of the Gordy formula relaxing the ad hoc sizedependent constraints of the Basel formulas. Our study contributes to Article 501 of the Capital...

Persistent link: https://www.econbiz.de/10011564456

Balance sheet strength and bank lending during the global financial crisis

Kapan, Tümer; Minoiu, Camelia - 2013

We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy. Using data from the syndicated loan market, we exploit variation in banks’ reliance on wholesale funding and their structural liquidity positions in 2007Q2 to estimate the...

Persistent link: https://www.econbiz.de/10010128760

Mitigating counterparty risk

Gündüz, Yalın - 2018

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions. We show that financial institutions that are active...

Persistent link: https://www.econbiz.de/10011900709

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