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Are counterparty arrangements in reinsurance a threat to financial stability?

Davison, Matt; Leadbetter, Darrell; Lu, Bin; Voll, Jane - 2016

banking literature to the insurance industry; (ii) assessing the interconnections among reinsurers through potential claims … rather than premiums; and (iii) investigating the most opaque part of the global insurance market, namely, counterparty … in the insurance sector and promote financial stability. …

Persistent link: https://www.econbiz.de/10011521658

A Q-theory of banks

Beganau, Juliane; Bigio, Saki; Majerovitz, Jeremy; … - 2021 - Last updated: September 24, 2021

We document five facts about banks: (1) market and book leverage diverged during the 2008 crisis, (2) Tobin's Q predicts future profitability, (3) neither book nor market leverage appears constrained, (4) banks maintain a market-leverage target that is reached slowly, and (5) precrisis, leverage...

Persistent link: https://www.econbiz.de/10012627919

Funding advantage and market discipline in the Canadian banking sector

Beyhaghi, Mehdi; D'Souza, Chris; Roberts, Gordon S. - 2013

We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks' funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada provides a...

Persistent link: https://www.econbiz.de/10010225470

The 'Celtic crisis' : guarantees, transparency and systemic liquidity risk

König, Philipp Johann; Anand, Kartik; Heinemann, Frank - 2013

, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign's funding risks … rollover risks of a bank and a government, which are connected through the government's guarantee of bank liabilities. We show …

Persistent link: https://www.econbiz.de/10009788961

The ex-ante versus ex-post effect of public guarantees

Damar, Evren; Gropp, Reint; Mordel, Adi - 2012

In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks' credit fundamentals. We use this natural experiment to evaluate the...

Persistent link: https://www.econbiz.de/10009580069

Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

unsecured debt and thus exacerbates fragility and raises unsecured funding costs. Deposit insurance or wholesale funding …

Persistent link: https://www.econbiz.de/10011451099

Quantifying contagion risk in funding markets : a model-based stress-testing approach

Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015

We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and … market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection …

Persistent link: https://www.econbiz.de/10011304764

Emergency liquidity facilities, signalling and funding Costs

Gauthier, Céline; Lehar, Alfred; Pérez Saiz, Héctor; … - 2015

In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve's discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model...

Persistent link: https://www.econbiz.de/10011408663

Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests

Oordt, Maarten R. C. van - 2018

This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe...

Persistent link: https://www.econbiz.de/10011923244

Credit risk transfer and bank insolvency risk

Oordt, Maarten R. C. van - 2017

taking on new risks, although these could aggravate the effect. High leverage and concentrated business models increase the … further reflection on the structure of securitization transactions and portfolio insurance. …

Persistent link: https://www.econbiz.de/10011777803