Showing 1 - 10 of 195
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for … conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms …
Persistent link: https://www.econbiz.de/10011293796
stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors …
Persistent link: https://www.econbiz.de/10011877252
lead to real reductions in risk as its benefits are limited to “good” times. Diversified banks are more exposed to … systematic risk and their credit supply is more sensitive to macroeconomic conditions, and monetary policy changes. Our study …
Persistent link: https://www.econbiz.de/10011518813
systemic runs for large shocks, but provide insurance against rollover risk for moderate shocks. Insurance operates via loan …, novation and default fund reduce the risk of systemic runs. Collateral aligns private incentives with the socially optimal …
Persistent link: https://www.econbiz.de/10011876120
. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …
Persistent link: https://www.econbiz.de/10012219367
risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …
Persistent link: https://www.econbiz.de/10011293576
Although policy uncertainty has drawn regulators' attention in the aftermath of the global financial crisis, little is known on how to alleviate its adverse effects. In this paper, we examine the role of political connections in mitigating the detrimental impact of policy uncertainty on banks....
Persistent link: https://www.econbiz.de/10012271224
We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that … make external financing costly, the optimal contract between shareholders and employees involves some degree of risk … to rationalize exclusively with incentive theories of bonus pay---but support an important risk sharing motive …
Persistent link: https://www.econbiz.de/10011938641
We study bailouts of banks that suffer from debt overhang problems and have private information about the quality of their assets-in-place and new investment opportunities. Menus of bailout plans are used as a screening device. Constrained-optimality involves over capitalization and nonlinear...
Persistent link: https://www.econbiz.de/10003979517
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...
Persistent link: https://www.econbiz.de/10010412297