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The determinants of banks' lobbying activities
Gibson, Rajna; Padovani, Miret - 2011 - Draft version: November 21, 2011
In this paper, we examine the relationship between banks lobbying activities, their size, financial strength, and … larger amounts on lobbying. Finally, we observe that the announcement of the Dodd-Frank bill led to increased lobbying by … banks with higher trading revenues. banking ; lobbying ; financial regulatory reform ; Dodd-Frank bill …
Persistent link: https://www.econbiz.de/10009554551
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The shadow cost of repos and bank liability structure
Klimenko, Nataliya; Moreno-Bromberg, Santiago - 2015
Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a bank's financing structure. In our model the bank's assets consist of illiquid loans and liquid reserves and are financed by a combination of repos, long–term debt, deposits...
Persistent link: https://www.econbiz.de/10011293473
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Bank capital, liquid reserves, and insolvency risk
Hugonnier, Julien; Morellec, Erwan - 2015
We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' insolvency risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value by making their financing, liquid asset holdings, and...
Persistent link: https://www.econbiz.de/10011293576
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring the capital shortfall of large U.S. banks
Jondeau, Eric; Khalilzadeh, Amir - 2018
We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...
Persistent link: https://www.econbiz.de/10011877252
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Are CoCo bonds a good substitute for equity? : evidence from European banks
Hau, Harald; Hrasko, Gabriela - 2018
Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to increase their capital buffers – a policy supported by national bank regulators. This paper examines whether the issuance of CoCo bonds provides the same reduction in bank...
Persistent link: https://www.econbiz.de/10011937107
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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...
Persistent link: https://www.econbiz.de/10009684066
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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
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Bank capital regulation with an opportunistic rating agency
Efing, Matthias - 2012
This paper models the strategic interaction between a rating agency, a banking sector and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating independent capital requirements....
Persistent link: https://www.econbiz.de/10009558367
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Aggregate investment externalities and macroprudential regulation
Gersbach, Hans; Rochet, Jean-Charles - 2012
Evidence suggests that banks tend to lend a lot during booms, and very little during recessions. We propose a simple explanation for this phenomenon. We show that, instead of dampening productivity shocks, the banking sector tends to exacerbate them, leading to excessive fluctuations of credit,...
Persistent link: https://www.econbiz.de/10009558435