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Fuster, Andreas; Plosser, Matthew; Vickery, James - 2018

We study the effects of regulatory oversight by the Consumer Financial Protection Bureau (CFPB) on credit supply as …

Persistent link: https://www.econbiz.de/10012144700

An analysis of OTC interest rate derivatives transactions: Implications for public reporting

Fleming, Michael; Jackson, John; Li, Ada; Sarkar, Asani; … - 2012

This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product...

Persistent link: https://www.econbiz.de/10010287160

Risk-neutral systemic risk indicators

Malz, Allan M. - 2013

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

Persistent link: https://www.econbiz.de/10010333576

Stock market reaction to financial statement certification by bank holding company CEOs

Hirtle, Beverly - 2003

In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation...

Persistent link: https://www.econbiz.de/10010283363

Does the market discipline banks? New evidence from the regulatory capital mix

Ashcraft, Adam B. - 2006

Although bank capital regulation permits a bank to choose freely between equity and subordinated debt to meet capital requirements, lenders and investors view debt and equity as imperfect substitutes. It follows that the mix of debt in regulatory capital should isolate the role that the market...

Persistent link: https://www.econbiz.de/10010283428

Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting

Acharya, Viral V.; Mehran, Hamid; Thakor, Anjan - 2010

Banks face two different kinds of moral hazard problems: asset substitution by shareholders (e.g., making risky, negative net present value loans) and managerial rent seeking (e.g., investing in inefficient 'pet' projects and consuming perquisites that yield private benefits). The privately...

Persistent link: https://www.econbiz.de/10010287043

Resolving troubled systemically important cross-border financial institutions: Is a new corporate organizational form required?

Cumming, Christine; Eisenbeis, Robert A. - 2010

This paper explores the advantages of a new financial charter for large, complex, internationally active financial institutions that would address the corporate governance challenges of such organizations, including incentive problems in risk decisions and the complicated corporate and...

Persistent link: https://www.econbiz.de/10010287116

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010333593

Discussion of an integrated framework for multiple financial regulations

Adrian, Tobias - 2012

A 2012 paper by Goodhart, Kashyap, Tsomocos, and Vardoulakis (GKTV) proposes a dynamic general equilibrium framework that provides a conceptual - and to some extent quantitative - framework for the analysis of macroprudential policies. The distinguishing feature of GKTV's paper relative to any...

Persistent link: https://www.econbiz.de/10010333654

Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since … 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that … the CRT programs have been successful in reducing the exposure of the federal government to mortgage credit risk without …

Persistent link: https://www.econbiz.de/10011942783

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