Showing 1 - 10 of 214
highlight weak macro-economic conditions, lax bank supervision and individual bank weakness as the key factors …
Persistent link: https://www.econbiz.de/10013009659
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems—elevated and unresolved...
Persistent link: https://www.econbiz.de/10012836382
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10013105310
Macroprudential policies are often aimed at the commercial banking sector, while a host of other non-bank financial … institutions, or shadow banks, may not fall under their jurisdiction. We study the effects of tightening commercial bank regulation … requirements on commercial banks increase shadow bank lending, which may have adverse financial stability effects. Coordinating …
Persistent link: https://www.econbiz.de/10012834226
From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered … has partial control over bank regulation it can exercise regulatory lenience. Two, the Fed's stronger output orientation …
Persistent link: https://www.econbiz.de/10013141874
estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …
Persistent link: https://www.econbiz.de/10013097610
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10012953806
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
Following the financial crisis, the share of non-performing loans has significantly increased, while the regulatory guidelines on the Internal-Ratings Based (IRB) approach for capital adequacy calculation related to defaulted exposures remains too general. As a result, the high-risk nature of...
Persistent link: https://www.econbiz.de/10012916067
We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10013155115