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Does greater transparency discipline the loan loss provisioning of privately held banks?
Bischof, Jannis; Foos, Daniel; Riepe, Jan - 2020
We investigate the relationship between the transparency of loan loss provision disclosures and the provisioning … mandatory disclosures of loan loss provisions. Using proprietary data provided by the national supervisor, we are able to … loss provisions to a lesser extent for income smoothing once they are required to disclose their accounting choice. At the …
Persistent link: https://www.econbiz.de/10012256499
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The role of non-performing loans for bank lending rates
Bredl, Sebastian - 2019
tends to be offset by loan loss reserves. Although the NPL stock affects banks' idiosyncratic funding costs as well, the …
Persistent link: https://www.econbiz.de/10011955694
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Loan loss provisioning and procyclicality : evidence from an expected loss model
Domikowsky, Christian; Bornemann, Sven; Düllmann, Klaus; … - 2014
Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …
Persistent link: https://www.econbiz.de/10010465580
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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
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Real interest rates, bank borrowing, and fragility
Ahnert, Toni; Anand, Kartik; König, Philipp Johann - 2022
How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank...
Persistent link: https://www.econbiz.de/10013460206
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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
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Taxing banks : an evaluation of the German bank levy
Buch, Claudia M.; Hilberg, Björn; Tonzer, Lena - 2014
Bank distress can have severe negative consequences for the stability of the financial system, the real economy, and for public finances. Regimes for the restructuring and resolution of banks, financed by bank levies and fiscal backstops, seek to reduce these costs. Bank levies attempt to...
Persistent link: https://www.econbiz.de/10010459282
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Time-varying capital requirements and disclosure rules : effects on capitalization and lending decisions
Imbierowicz, Björn; Kragh, Jonas; Rangvid, Jesper - 2018
We investigate how banks' capital and lending decisions respond to changes in bankspecific capital and disclosure requirements. We find that an increase in the bankspecific regulatory capital requirement results in a higher bank capital ratio, brought about via less asset risk. A decrease in the...
Persistent link: https://www.econbiz.de/10011865005
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …
Persistent link: https://www.econbiz.de/10012012997