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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives
Ito, Takatoshi - 2010
1999, the markets were more sensitive to bank vulnerability and higher premiums were required …
Persistent link: https://www.econbiz.de/10012762833
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When is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
Bai, Jennie - 2014
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...
Persistent link: https://www.econbiz.de/10013054883
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...
Persistent link: https://www.econbiz.de/10012996380
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Does the Geographic Expansion of Bank Assets Reduce Risk?
Goetz, Martin Richard - 2014
We develop a new identification strategy to evaluate the impact of the geographic expansion of bank holding company … (BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank …
Persistent link: https://www.econbiz.de/10013039767
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What We Learn from China's Rising Shadow Banking : Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending
Chen, Kaiji - 2016
We argue that China's rising shadow banking was inextricably linked to potential balance-sheet risks in the banking system. We substantiate this argument with three didactic findings: (1) commercial banks in general were prone to engage in channeling risky entrusted loans; (2) shadow banking...
Persistent link: https://www.econbiz.de/10013001204
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Risk-Based Capital Standards and the Riskiness of Bank Portfolios : Credit and Factor Risks
Grenadier, Steven R. - 2010
Bank risk-based capital (RBC) standards require banks to hold differing amounts of capital for different classes of … weights accurately reflect bank asset risk, we find that the weights fail even in their limited goal of correctly quantifying … are considered in the RBC regulations. We also examine other types of bank risk by estimating a simple factor model that …
Persistent link: https://www.econbiz.de/10012763732
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Coco Issuance and Bank Fragility
Avdjiev, Stefan - 2017
first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling …
Persistent link: https://www.econbiz.de/10012943619
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment...
Persistent link: https://www.econbiz.de/10012978841
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How Management Risk Affects Corporate Debt
Pan, Yihui - 2016
Management risk occurs when uncertainty about future managerial decisions increases a firm's overall risk. This paper argues that management risk is an important yet unexplored determinant of a firm's default risk and the pricing of its debt. CDS spreads, loan spreads and bond yield spreads all...
Persistent link: https://www.econbiz.de/10012996387
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Stealing Deposits : Deposit Insurance, Risk-Taking and the Removal of Market Discipline in Early 20th Century Banks
Calomiris, Charles W. - 2016
Deposit insurance reduces liquidity risk but it also can increase insolvency risk by encouraging reckless behavior. A … increased their insolvency risk, and competed aggressively for the deposits of uninsured banks operating nearby. When prices …
Persistent link: https://www.econbiz.de/10012982032