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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 … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012197781
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market effciency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …
Persistent link: https://www.econbiz.de/10008688519
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Risk spillover among hedge funds : the role of redemptions and fund failures
Klaus, Benjamin; Rzepkowski, Bronka - 2009
risk spillover via redemptions. -- Hedge Funds ; Survival Analysis ; Risk Spillover ; Diversification …
Persistent link: https://www.econbiz.de/10003963821
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Internationally correlated jumps
Pukthuanthong, Kuntara; Roll, Richard - 2012
Persistent link: https://www.econbiz.de/10009765209
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GVC exporter performance during the COVID-19 pandemic : the role of supply bottlenecks
Lebastard, Laura; Matani, Marco; Serafini, Roberta - 2023
sourcing of core inputs from different countries, supporting the hypothesis that diversification in global value chains fosters …
Persistent link: https://www.econbiz.de/10013492907
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Sources of economic renewal : from the traditional firm to the knowledge firm
Rodriguez Palenzuela, Diego - 2000
Persistent link: https://www.econbiz.de/10001554488
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Business models of the banks in the euro area
Farnè, Matteo; Vouldis, Angelos - 2017
The paper identifies the business models followed by banks in the euro area, utilising a proprietary dataset collected in the context of the supervisory reporting of the Single Supervisory Mechanism. The concept of a 'business model' has been neglected by economic theory and is defined here with...
Persistent link: https://www.econbiz.de/10011656196
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Caution: do not cross! : capital buffers and lending in Covid-19 times
Couaillier, Cyril; Lo Duca, Marco; Reghezza, Alessio; … - 2022
While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro-cyclical behaviour to preserve capital ratios. By employing...
Persistent link: https://www.econbiz.de/10012818793
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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10012519357
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Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds'...
Persistent link: https://www.econbiz.de/10012622810