Narrow search
Showing 1 - 10 of 422
Cover Image
The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …
Persistent link: https://www.econbiz.de/10011975602
Cover Image
Who bears interest rate risk?
Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018
We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...
Persistent link: https://www.econbiz.de/10011901434
Cover Image
Do negative interest rates make banks less safe?
Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …
Persistent link: https://www.econbiz.de/10011719935
Cover Image
Business models of the banks in the euro area
Farnè, Matteo; Vouldis, Angelos - 2017
dimensionality reduction optimally, given the nature of our dataset which features a large number of dimensions for each bank ('fat …
Persistent link: https://www.econbiz.de/10011656196
Cover Image
Bank risk during the financial crisis : do business models matter?
Altunbaş, Yener; Manganelli, Simone; Marqués … - 2011
We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher …. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income … risk. - Bank risk ; business models ; bank regulation ; financial crisis ; Basle III …
Persistent link: https://www.econbiz.de/10009380937
Cover Image
Banks' risk-taking within a banking union
Farnè, Matteo; Vouldis, Angelos - 2021
We study the relationship between banks' size and risk-taking in the context of supranational banking supervision. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives under- pinned by the too-big-to-fail effect, we find an inverse relationship...
Persistent link: https://www.econbiz.de/10012627903
Cover Image
Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2019
how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio …
Persistent link: https://www.econbiz.de/10012061145
Cover Image
The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012197781
Cover Image
The impact of G-SIB identification on bank lending : evidence from syndicated loans
Behn, Markus; Schramm, Alexander - 2020
Systemically Important Banks (G-SIBs) on bank lending behaviour. Using a difference-in-differences estimation strategy, we find no …
Persistent link: https://www.econbiz.de/10012299026
Cover Image
Behind the scenes of the beauty contest : window dressing and the G-SIB framework
Behn, Markus; Mangiante, Giacomo; Parisi, Laura; Wedow, … - 2019
This paper illustrates that systemically important banks reduce a range of activities at year- end, leading to lower additional capital requirements in the form of G-SIB buffers. The effects are stronger for banks with higher incentives to reduce the indicators, and for banks with balance sheet...
Persistent link: https://www.econbiz.de/10012034493