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Systemic risk measurement: Multivariate GARCH estimation of CoVaR

Girardi, Giulio; Tolga Ergün, A. - In: Journal of Banking & Finance 37 (2013) 8, pp. 3169-3180

We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to...

Persistent link: https://www.econbiz.de/10011065629

Measuring systemic risk-adjusted liquidity (SRL)—A model approach

Jobst, Andreas A. - In: Journal of Banking & Finance 45 (2014) C, pp. 270-287

excessive maturity transformation and the implications for effective liquidity regulation of banks. The SRL model combines … option pricing theory with market information and balance sheet data to generate probabilistic measure of systemic liquidity … risk. It enhances price-based liquidity regulation by linking a bank’s maturity mismatch impacting the stability of its …

Persistent link: https://www.econbiz.de/10011065601

Uninsured deposits as a monitoring device: Their impact on bond yields of banks

Alanis, Emmanuel; Beladi, Hamid; Quijano, Margot - In: Journal of Banking & Finance 52 (2015) C, pp. 77-88

We empirically analyze the impact of uninsured deposits on a bank’s cost of public debt. Uninsured depositors can exert market discipline over a bank and potentially reduce its agency cost of debt through informed monitoring. We use a sample of public bond issues by U.S. bank holding companies...

Persistent link: https://www.econbiz.de/10011209865

Does board structure in banks really affect their performance?

Pathan, Shams; Faff, Robert - In: Journal of Banking & Finance 37 (2013) 5, pp. 1573-1589

We study whether board structure (board size, independence and gender diversity) in banks relates to performance. Using a broad panel of large US bank holding companies over the period 1997–2011, we find that both board size and independent directors decrease bank performance. Although gender...

Persistent link: https://www.econbiz.de/10010662598

Are two heads better than one? Evidence from the thrift crisis

Byrd, John; Fraser, Donald R.; Scott Lee, D.; … - In: Journal of Banking & Finance 36 (2012) 4, pp. 957-967

We employ a natural experiment from the 1980s, predating the ubiquitous clamor for independence influenced corporate governance structures, to examine which governance mechanisms are associated with firm survival and failure. We find that thrifts were more likely to survive the thrift crisis...

Persistent link: https://www.econbiz.de/10010577952

Does deregulation induce competition in the market for corporate control? The special case of banking

Ghosh, Chinmoy; Petrova, Milena - In: Journal of Banking & Finance 37 (2013) 12, pp. 5220-5235

Using a sample of 936 acquisitions of commercial banks, we examine the relation between the probability to engage in value-reducing acquisitions and corporate governance structures, as well as the relation between acquirer announcement-period abnormal stock returns and antitakeover indices and...

Persistent link: https://www.econbiz.de/10010709482

Bank risk and national governance in Asia

Williams, Barry - In: Journal of Banking & Finance 49 (2014) C, pp. 10-26

The role of national governance upon bank-level risk in the Asian region is analysed. Improvements in national governance are risk reducing at the bank level in developed nations in the Asian region, and over the longer run for those nations affected by the Asian Financial Crisis. A U-shaped...

Persistent link: https://www.econbiz.de/10011118091

Bank pay caps, bank risk, and macroprudential regulation

Thanassoulis, John - In: Journal of Banking & Finance 48 (2014) C, pp. 139-151

This paper studies the consequences of a regulatory pay cap in proportion to assets on bank risk, bank value, and bank asset allocations. The cap is shown to lower banks’ risk and raise banks’ values by acting against a competitive externality in the labour market. The risk reduction is...

Persistent link: https://www.econbiz.de/10011077977

Disclosures of material weaknesses by Japanese firms after the passage of the 2006 Financial Instruments and Exchange Law

Chernobai, Anna; Yasuda, Yukihiro - In: Journal of Banking & Finance 37 (2013) 5, pp. 1524-1542

We investigate the disclosures of material weaknesses in internal control mandated for Japanese firms under the 2006 Financial Instruments and Exchange Law. We find that the presence of a material weakness is more likely for firms that are younger, have better growth prospects, have a volatile...

Persistent link: https://www.econbiz.de/10011065672

The good and bad news about the new liquidity rules of Basel III in Western European countries

Dietrich, Andreas; Hess, Kurt; Wanzenried, Gabrielle - In: Journal of Banking & Finance 44 (2014) C, pp. 13-25

New liquidity rules phased in under Basel III define the new net stable funding ratio (NSFR) to promote sustainable …

Persistent link: https://www.econbiz.de/10010785400

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