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Supervisory Stress Tests
Hirtle, Beverly - 2014
This article describes the background, design choices and particular details of stress tests used as part of an overall supervisory regime; that is, their formal integration into the process of the ongoing prudential supervision of banks and other large financial institutions. We then describe...
Persistent link: https://www.econbiz.de/10013044327
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The Effect of Bank Monitoring on Loan Repayment
Branzoli, Nicola; Fringuellotti, Fulvia - 2022
Monitoring is one of the main activities explaining the existence of banks, yet empirical evidence about its effect on loan outcomes is scant. Using granular loan-level information from the Italian Credit Register, we build a novel measure of bank monitoring based on banks’ requests for...
Persistent link: https://www.econbiz.de/10013309151
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Bailouts and Financial Fragility
Keister, Todd - 2012
Should policy makers be prevented from bailing out investors in the event of a crisis? I study this question in a model … of financial intermediation with limited commitment. When a crisis occurs, the efficient policy response is to use public … social point of view and may, in addition, leave the economy more susceptible to a crisis. A policy of taxing short …
Persistent link: https://www.econbiz.de/10013115675
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Expectations versus Fundamentals : Does the Cause of Banking Panics Matter for Prudential Policy?
Keister, Todd - 2011
the event of a crisis distorts the incentives of financial institutions and their investors. Two policies that aim to …
Persistent link: https://www.econbiz.de/10013119802
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Robust Capital Regulation
Acharya, Viral V. - 2011
Banks' leverage choices represent a delicate balancing act. Credit discipline argues for more leverage, while balance-sheet opacity and ease of asset substitution argue for less. Meanwhile, regulatory safety nets promote ex post financial stability, but also create perverse incentives for banks...
Persistent link: https://www.econbiz.de/10013126071
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Supervising Large, Complex Financial Institutions : What Do Supervisors Do?
Eisenbach, Thomas M. - 2015
The Federal Reserve is responsible for the prudential supervision of bank holding companies (BHCs) on a consolidated basis. Prudential supervision involves monitoring and oversight to assess whether these firms are engaged in unsafe or unsound practices, as well as ensuring that firms are taking...
Persistent link: https://www.econbiz.de/10013021984
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Are Credit Default Swaps Associated with Higher Corporate Defaults?
Peristiani, Stavros - 2011
Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton's contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms. Our analysis does not generally find a...
Persistent link: https://www.econbiz.de/10013124670
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Payment Changes and Default Risk : The Impact of Refinancing on Expected Credit Losses
Tracy, Joseph S. - 2012
This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to...
Persistent link: https://www.econbiz.de/10013105432
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Credit Risk Transfer and De Facto GSE Reform
Finkelstein, David - 2018
We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the...
Persistent link: https://www.econbiz.de/10012926500
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Regulation and Risk Shuffling in Bank Securities Portfolios
Fuster, Andreas - 2018
Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some banking organizations. Our analysis is based on...
Persistent link: https://www.econbiz.de/10012916682