Showing 1 - 10 of 338
The large holdings of government securities by banks in India draw attention to their risk as interest rates are at historical low levels. This paper measures such a risk using duration and value-at-risk methods and assesses its current management by banks. The main finding is that some public...
Persistent link: https://www.econbiz.de/10014402042
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...
Persistent link: https://www.econbiz.de/10014395738
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...
Persistent link: https://www.econbiz.de/10009621630
This paper presents an overview of exposures in the balance sheets of central banks, banks, and other depository institutions during the past decade, with emphasis on asset growth and currency composition. It exploits the IMF's SRF-based monetary data to show: (i) there was a widely observed...
Persistent link: https://www.econbiz.de/10011283242
The global financial crisis (GFC) has renewed interest in emergency liquidity support (sometimes referred to as 'Lender of Last Resort') provided by central banks to financial institutions and challenged the traditional way of conducting these operations. Despite a vast literature on the topic,...
Persistent link: https://www.econbiz.de/10011436788
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential...
Persistent link: https://www.econbiz.de/10011932580
While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to...
Persistent link: https://www.econbiz.de/10011799580
We identify different sources of risk as important determinants of banks'' corporate structures when expanding into new markets. Subsidiary-based corporate structures benefit from greater protection against economic risk because of affiliate-level limited liability, but are more exposed to the...
Persistent link: https://www.econbiz.de/10014404312
This paper investigates the determinants of bank funding costs for a sample of internationally active banks from 2001–12. We find that changes in banks’ unsecured funding costs are associated with bank-specific characteristics such as an institution’s credit worthiness and the return on...
Persistent link: https://www.econbiz.de/10014411212
We investigate whether low loan-to-deposit (LTD) ratios and high levels of reserve balances at the central bank (or holdings of government securities) are a reflection of policy-driven factors compared to commonly cited reasons of reluctance to lend or sometimes weak investment demand in...
Persistent link: https://www.econbiz.de/10014411341