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Trustworthiness of firm valuations : bias and market perception in compliance with capital market regulations

El-Al, Eli; Galil, Koresh; Gavious, Ilanit - 2023

Persistent link: https://www.econbiz.de/10014486176

Taming overconfident CEOs through stricter financial regulation

Kassner, Bernhard - 2023

paper shows that financial regulation can be effective at mitigating this type of risk. Exploiting regulatory changes … financial institutions subject to stricter regulation. Following the easing of these regulations, overconfidence-induced risk …-taking increases again. These findings confirm the effectiveness of financial regulation at correcting overconfident behavior, but also …

Persistent link: https://www.econbiz.de/10014477386

How central is central counterparty clearing? : a deep dive into a European repo market during the crisis

Ebner, André; Fecht, Falko; Schulz, Alexander - 2016

Repo markets offering central counterparty (CCP) clearing and anonymized trading were remarkably resilient during the recent crises. We use the full transaction level dataset on all repo trades on Eurex Repo, including identifiers for market participants, to provide a detailed description of the...

Persistent link: https://www.econbiz.de/10011483061

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

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

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

Persistent link: https://www.econbiz.de/10011663208

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

Schupp, Fabian; Silbermann, Leonid - 2017

banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity …

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

The fiscal footprint of macroprudential policy

Reis, Ricardo - 2020

Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...

Persistent link: https://www.econbiz.de/10012222608

Dynamics and heterogeneity of subjective stock market expectations

Heiss, Florian; Hurd, Michael D.; Rossmann, Tobias; … - 2019

Between 2004 and 2016, we elicited individuals' subjective expectations of stock market returns in a Dutch internet panel at bi-annual intervals. In this paper, we develop a panel data model with a finite mixture of expectation types who differ in how they use past stock market returns to form...

Persistent link: https://www.econbiz.de/10012033828

What predicts financial (in)stability? : a Bayesian approach

Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - 2014

This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...

Persistent link: https://www.econbiz.de/10010458174