Showing 1 - 10 of 331
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...
Persistent link: https://www.econbiz.de/10009720895
supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps …
Persistent link: https://www.econbiz.de/10014320321
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
In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the period between 2002 and 2010. Using linear and quantile regression estimators, we find that the impact of non-interest income on risk significantly differs depending on banks’...
Persistent link: https://www.econbiz.de/10009740269
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011381702
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
bank is, the higher are the abnormal returns, both in 'crisis countries' and 'non-crisis countries'. Moreover, abnormal … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …
Persistent link: https://www.econbiz.de/10015051532
that failed during the 2007/2008 crisis. Excess equity returns in response to bank bailouts are overall negative and …
Persistent link: https://www.econbiz.de/10009566462
In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking system. In contrast, the SLS focusses on the problematic...
Persistent link: https://www.econbiz.de/10012888139
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