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Does IFRS 9 increase banks' resilience?
Kund, Arndt-Gerrit; Rugilo, Daniel - 2023
IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper … analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … only recognized with hindsight, and thus late and abruptly. IFRS 9 was designed to mitigate this issue through a staging …
Persistent link: https://www.econbiz.de/10014230334
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The time dimension of the links between loss given default and the macroeconomy
Koneèný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of …
Persistent link: https://www.econbiz.de/10011636239
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The low-carbon transition, climate commitments and firm credit risk
Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021
This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...
Persistent link: https://www.econbiz.de/10012745324
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10003832599
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Conditional and joint credit risk
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2013
Persistent link: https://www.econbiz.de/10010233247
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Banking system stability: a cross-Atlantic perspective
Hartmann, Philipp (contributor);  … - 2005
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion riskʺ) and to...
Persistent link: https://www.econbiz.de/10003117209
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The risk management approach to macro-prudential policy
Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; … - 2021
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off...
Persistent link: https://www.econbiz.de/10012547546
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How has CDO market pricing changed during the turmoil? : evidence from CDS index tranches
Scheicher, Martin (contributor) - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10003782657
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Do stress tests matter? : evidence from the 2014 and 2016 stress tests
Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017
Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...
Persistent link: https://www.econbiz.de/10011648333
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Risk characteristics of covered bonds : monitoring beyond ratings
Grothe, Magdalena; Zeyer, Jana - 2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012206219