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Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins
Biais, Bruno - 2012
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …
Persistent link: https://www.econbiz.de/10013113017
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Risk-sharing or risk-taking? Counterparty risk, incentives and margins
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …
Persistent link: https://www.econbiz.de/10011605458
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A model of system-wide stress simulation: Market-based finance and the Covid-19 event
Di Iasio, Giovanni; Alogoskoufis, Spyridon; Kördel, Simon - 2022
We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents re ecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints on...
Persistent link: https://www.econbiz.de/10013368001
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Preferred habitat and monetary policy through the looking-glass
Carboni, Giacomo; Ellison, Martin - 2022
-driven strategy to minimise the duration risk on its balance sheet. The optimising behaviour of the insurance fund implies a preferred …
Persistent link: https://www.econbiz.de/10014278194
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Preferred Habitat and Monetary Policy Through the Looking-Glass
Carboni, Giacomo; Ellison, Martin - 2022
-driven strategy to minimise the duration risk on its balance sheet. The optimising behaviour of the insurance fund implies a preferred …
Persistent link: https://www.econbiz.de/10014079213
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A Model of System-Wide Stress Simulation : Market-Based Finance and the COVID-19 Event
di Iasio, Giovanni; Alogoskoufis, Spyros; Kordel, Simon; … - 2022
We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents reflecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints...
Persistent link: https://www.econbiz.de/10013405132
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Bank efficiency and regional growth in Europe: new evidence from micro-data
Belke, Ansgar; Haskamp, Ulrich; Setzer, Ralph - 2016
This paper examines whether European regions which incorporate banks with a higher intermediation quality grow faster and are more resilient to negative shocks than its less efficient peers. For this purpose, we measure a bank's intermediation quality by estimating its pro t and cost efficiency...
Persistent link: https://www.econbiz.de/10011606028
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Banks credit and productivity growth
Hassan, Fadi; di Mauro, Filippo; Ottaviano, Gianmarco I.P. - 2017
Financial institutions are key to allocate capital to its most productive uses. In order to examine the relationship between productivity and bank credit in the context of different financial market set-ups, we introduce a model of overlapping generations of entrepreneurs under complete and...
Persistent link: https://www.econbiz.de/10011606053
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Lending relationships in loan renegotiation: Evidence from corporate loans
Plessen-Mátyás, Katharina - 2021
This paper presents evidence that personal relationships between corporate borrowers and bank loan officers improve the outcomes of loan renegotiation. Analysing a bank reorganization in Greece in the mid-2010s, I find that firms that experience an exogenous interruption in their loan officer...
Persistent link: https://www.econbiz.de/10012605249
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The shifts and the shocks: Bank risk, leverage, and the macroeconomy
Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022
This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced …
Persistent link: https://www.econbiz.de/10013368002