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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …
Persistent link: https://www.econbiz.de/10011949150
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …
Persistent link: https://www.econbiz.de/10010224793
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Insecure debt
Perotti, Enrico C.; Matta, Rafael - 2015 - This Draft: March 16, 2015
Does demand for safety create instability ? Secured (repo) funding can be made so safe that it never runs, but shifts risk to unsecured creditors. We show that this triggers more frequent runs by unsecured creditors, even in the absence of fundamental risk. This effect is separate from the...
Persistent link: https://www.econbiz.de/10010492342
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Unsecured and secured funding
Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018
We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...
Persistent link: https://www.econbiz.de/10011818292
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A Pigovian approach to liquidity regulation
Perotti, Enrico C.; Suárez, Javier - 2011
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different incentives for risk creation.When banks differ in credit...
Persistent link: https://www.econbiz.de/10011383222
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A Pigovian approach to liquidity regulation
Perotti, Enrico C.; Suárez, Javier - 2011
Persistent link: https://www.econbiz.de/10008907842
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Credit rationing effects of credit value-at-risk
Slijkerman, Jan Frederik; Smant, David Jan Cornelis; … - 2004
of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation …
Persistent link: https://www.econbiz.de/10011334832
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Credit protection and lending relationships
Arping, Stefan - 2012
Persistent link: https://www.econbiz.de/10010190981
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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
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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