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What Drives Forbearance – Evidence from the ECB Comprehensive Assessment
Homar, Timotej - 2015
highlight weak macro-economic conditions, lax bank supervision and individual bank weakness as the key factors …
Persistent link: https://www.econbiz.de/10013009659
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Credit Risk in General Equilibrium
Eichberger, Jürgen - 2012
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
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Risk, Capital Buffer and Bank Lending : A Granular Approach to the Adjustment of Euro Area Banks
Maurin, Laurent - 2012
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
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10012953806
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Latent Fragility : Conditioning Banks' Joint Probability of Default on the Financial Cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves S.; … - 2022
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
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Proposal on ELBE and LGD In-Default : Tackling Capital Requirements after the Financial Crisis
Ramos González, Marta - 2018
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
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Interbank Lending, Credit Risk Premia and Collateral
Heider, Florian - 2009
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
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Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests
Georgescu, Oana Maria - 2017
results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker …
Persistent link: https://www.econbiz.de/10012956258
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Banking Supervision, Monetary Policy and Risk-Taking : Big Data Evidence from 15 Credit Registers
Altavilla, Carlo - 2020
crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk …
Persistent link: https://www.econbiz.de/10012844932
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Predicting Distress in European Banks
Betz, Frank - 2013
both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset … are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector … vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current financial …
Persistent link: https://www.econbiz.de/10013074637