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Analyse et mesure du risque systémique
Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015
This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...
Persistent link: https://www.econbiz.de/10011265545
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Credit Traps
Benmelech, Efraim; Bergman, Nittai K. - National Bureau of Economic Research (NBER) - 2010
This paper studies the limitations of monetary policy transmission within a credit channel frame- work. We show that …, under certain circumstances, the credit channel transmission mechanism fails in that liquidity injections by the central … bank into the banking sector are hoarded and not lent out. We use the term 'credit traps' to describe such situations and …
Persistent link: https://www.econbiz.de/10008622349
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Countdown for the New Basle Capital Accord: Are German banks ready for the internal ratings-based approach?
Ewert, Ralf; Szczesny, Andrea - Center for Financial Studies - 2001
This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into … internal rating systems not comparable over banks and furthermore we reveal differences between credit rating determining and …
Persistent link: https://www.econbiz.de/10010958658
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Improvements in rating models for the German corporate sector
Förstemann, Till - Deutsche Bundesbank - 2011
Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...
Persistent link: https://www.econbiz.de/10009323134
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Predicting the past: Understanding the causes of bank distress in the Netherlands in the 1920s
Colvin, Christopher L.; de Jong, Abe; Fliers, Philip T. - Centre for Economic History, Management School - 2014
Why do some banks fail in financial crises while others survive? This article answers this question by analysing the effect of the Dutch financial crisis of the 1920s on 142 banks, of which 33 failed. We find that choices of balance sheet composition and product market strategy made in the...
Persistent link: https://www.econbiz.de/10010986175
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Lessons from the European Financial Crisis
Pagano, Marco - Centro Studi di Economia e Finanza (CSEF) - 2014
This paper distils three lessons for bank regulation from the experience of the 2009-12 euro-area financial crisis. First, it highlights the key role that sovereign debt exposures of banks have played in the feedback loop between bank and fiscal distress, and inquires how the regulation of...
Persistent link: https://www.econbiz.de/10010885021
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Financial Regulation in Italy
Vozzella, Pietro; Gabbi, Giampaolo; Matthias, Massimo - Financialisation, Economy, Society & Sustainable … - 2014
The evolution of the Italian regulatory system is based on five basic principles: (i) maintenance of trust in the financial system; (ii) investors protection; (iii) stability and wellfunctioning of the financial system; (iv) financial system competitiveness; (v) compliance of financial rules....
Persistent link: https://www.econbiz.de/10010933419
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The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress
Mayes, David G.; Stremmel, Hanno - SUERF - The European Money and Finance Forum
Our concern in this paper is two-fold: first to see whether the determinants of bank distress and failure have been any different in the GFC from previous years: second to see whether simple measures of capital adequacy outperform their risk-weighted counterparts as predictors, despite the focus...
Persistent link: https://www.econbiz.de/10011212144
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Credit Losses at Australian Banks: 1980–2013
Rodgers, David - Reserve Bank of Australia - 2015
Credit risk – the risk that borrowers will not repay their loans – is one of the main risks that financial …. This paper explores the <i>ex post</i> credit risk experience – the 'credit loss' experience – of the Australian banking … system. It does so using a newly compiled dataset covering bank-level credit losses over 1980 to 2013. The Australian credit …
Persistent link: https://www.econbiz.de/10011276287
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Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model
Sinha, Pankaj; Sharma, Sakshi; Sondhi, Kriti - Volkswirtschaftliche Fakultät, … - 2013
The most pernicious effect of the global financial crisis is that it triggers a sequence of unpleasant consequences for the banking sector and for the entire economy as a whole. The recent financial crisis has compelled regulators to focus on the necessity of resilience of banks towards risks...
Persistent link: https://www.econbiz.de/10011259139