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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...

Persistent link: https://www.econbiz.de/10011605458

A stochastic forward-looking model to assess the profitability and solvency of European insurers

Berdin, Elia; Kok, Christoffer; Pancaro, Cosimo - 2017

solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … non-life business and we calibrate it using country level data to make it representative of the major euro area insurance …

Persistent link: https://www.econbiz.de/10011667212

Investor-driven corporate finance: Evidence from insurance markets

Kubitza, Christian - 2023

granular data on the bond transactions of U.S. insurance companies. Liquidity inflows from insurance premiums combined with …

Persistent link: https://www.econbiz.de/10014374692

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Berdin, Elia - 2017

Persistent link: https://www.econbiz.de/10012961958

Insurers’ Investment Strategies : Pro- or Countercyclical?

Fache Rousová, Linda; Giuzio, Margherita - 2021

macroprudential measures beyond banking …

Persistent link: https://www.econbiz.de/10013315359

A cross-country comparison of market structures in European banking

Davis, E. Philip; De Bandt, Olivier - 1999

1992-1996, we provide evidence that European banking markets for large banks in the mid-1990s were still characterised by …

Persistent link: https://www.econbiz.de/10011604053

Deposit insurance and moral hazard: does the counterfactual matter?

Gropp, Reint E.; Vesala, Jukka - 2001

banking systems have been characterised by strong implicit insurance operating through the expectation of public intervention …The paper analyses the relationship between deposit insurance, debt-holder monitoring, charter values and risk taking …. Utilising cross-sectional and time series variation in the existence of deposit insurance schemes in the EU, we find that the …

Persistent link: https://www.econbiz.de/10011604093

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint E.; Vesala, Jukka; Vulpes, Giuseppe - 2002

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...

Persistent link: https://www.econbiz.de/10011604196

Measurement of contagion in banks' equity prices

Gropp, Reint E.; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10011604343

Deposit insurance, moral hazard and market monitoring

Gropp, Reint E.; Vesala, Jukka - 2004

banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non …The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised … deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated …

Persistent link: https://www.econbiz.de/10011604348

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