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Endogenous credit derivatives and bank behavior
Pausch, Thilo (contributor) - 2007
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10003608811
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Endogenous Credit Derivatives and Bank Behavior
Pausch, Thilo - 2016
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10012989285
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The implications of CIP deviations for international capital flows
Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025
We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...
Persistent link: https://www.econbiz.de/10015330343
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The impact of off-balance sheet derivatives and interest rate swaps on bank risk
Chaudhry, Mukesh; Reichert, Alan K. - In: Research in finance 17 (1999), pp. 275-300
Persistent link: https://www.econbiz.de/10001485126
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Off-Balance Sheet Derivatives and Banking Risk : Indonesian Evidence
Raz, Arisyi - 2017
In modern banking, off-balance sheet (OBS) activity has played a greater role in banking business following rapid technological advancement and some regulatory development. Even though OBS activity has given birth to some new business prospects, appropriate risk measurement needs to be assessed...
Persistent link: https://www.econbiz.de/10012971179
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The Risks of Off-Balance Sheet Derivatives in U.S. Commercial Banks
Khasawneh, Ahmad Y. - 2012
This paper aims to test the extent to which the tax regulatory and discipline hypotheses determine derivative … and we consider derivative activities as real financial innovation following trend diffusion curve. The model is modified … to include regulator, non-regulatory/specific factors and macroeconomic factors. The results reveal that derivative …
Persistent link: https://www.econbiz.de/10013116373
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The Risks of Off-Balance Sheet Derivatives in U.S. Commercial Banks
Hassan, M. Kabir - 2009
hypothesis for derivative contracts in U.S. banking industry. In addition to the Capital Asset Pricing Model (CAPM) measure of …
Persistent link: https://www.econbiz.de/10013155654
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Optimal Risk-Return Trade-Offs of Commercial Banks : and the Suitability of Profitability Measures for Loan Portfolios
Kühn, Jochen (contributor) - 2006
This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...
Persistent link: https://www.econbiz.de/10013520561
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The relationship between bank capital, risk-taking, and capital regulation : a review of the literature
Stolz, Stéphanie Marie - 2002
Persistent link: https://www.econbiz.de/10001666908