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Regulating the financial cycle : an integrated approach with a leverage ratio

Schoenmaker, Dirk; Wierts, Peter - 2015

We propose a regulatory approach for restricting debt financing as an amplification mechanism across the financial system. A small stylised model illustrates the trade-off between static and time varying limits on leverage in dampening the financial cycle. The policy section proposes its...

Persistent link: https://www.econbiz.de/10010532609

Recessions after systemic banking crises : does it matter how governments intervene?

Wijnbergen, Sweder van; Homar, Timotej - 2013

Persistent link: https://www.econbiz.de/10010191418

Cyclicality in losses on bank loans

Keijsers, Bart; Diris, Bart; Kole, Erik - 2015

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk … default rate and loss given default of bank loans share a cyclical component, related to the business cycle. We infer this …

Persistent link: https://www.econbiz.de/10010515860

Multiple buffer CoCos and their impact on financial stability

Neamtu, Ioana - 2020

In this paper we develop a theoretical model to investigate the effect on a bank's financial stability of having … multiple contingent convertible bonds buffers (CoCos) on the same bank balance sheet, using cash-in-the-market pricing and … converts into equity when a bank needs it the most. We find that having CoCo buffers which trigger at different capitalisation …

Persistent link: https://www.econbiz.de/10012161027

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002 - This version: October 15, 2002

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

Persistent link: https://www.econbiz.de/10011327840

Financial frictions and the credit transmission channel : capital requirements and bank capital

Gornicka, Lucyna; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191434

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

Persistent link: https://www.econbiz.de/10003300919

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and …

Persistent link: https://www.econbiz.de/10011348707

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Persistent link: https://www.econbiz.de/10011333881

COVID-19, credit risk and macro fundamentals

Dubinova, Anna; Lucas, André; Telg, Sean - 2021

COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as...

Persistent link: https://www.econbiz.de/10012591539