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developments in Chile and outside, but bank responses are highly heterogeneous. To reduce the number of variables linked to the … magnitude and persistence of responses of bank credit risk can vary across banks in the system …
Persistent link: https://www.econbiz.de/10014401473
Persistent link: https://www.econbiz.de/10009486196
We study 1,400 UK syndicated loans, together with the financial history of the lead bank and the borrowing firm. We … that it primarily reflects the lead bank's screening and monitoring activities. (ii) As a bank becomes larger, more … profitability and financial distress during the lending relationship. By relating the state of bank balance sheets to borrower …
Persistent link: https://www.econbiz.de/10011704460
This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest...
Persistent link: https://www.econbiz.de/10014402362
Persistent link: https://www.econbiz.de/10009726539
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10012667510
This paper examines the association between the default risk of foreign bank subsidiaries in developing countries and … parents. Host country bank regulations also influence the extent to which shocks to the parents affect the subsidiaries … restrictions on bank activities …
Persistent link: https://www.econbiz.de/10011711462
One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...
Persistent link: https://www.econbiz.de/10014400614
This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only...
Persistent link: https://www.econbiz.de/10014400782
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...
Persistent link: https://www.econbiz.de/10014402670