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The Failure of Northern Rock: A multi-dimensional Case Study
Congdon, Tim; Goodhart, Charles A.E.; Eisenbeis, Robert A. - 2009
In August 2007 the United Kingdom experienced its first bank run in over 140 years. Although Northern Rock was not a … particularly large bank (it was at the time ranked 7th in terms of assets) it was nevertheless a significant retail bank and a … outside the bank as depositors rushed to withdraw their deposits. There was always a fear that this could spark a systemic run …
Persistent link: https://www.econbiz.de/10011689937
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Towards Putting a Price on the Risk of Bank Failure
Snethlage, Daniel - 2015
This paper develops a new approach for conceptualizing and measuring the risk associated with bank failure. The price …), representing the price of the financial risk that exists ex-ante (ie, before a bank fails). This can be interpreted as the cost …. If that were to happen, and if net losses were to be 5-10 per cent of bank liabilities the total cost could be $16 …
Persistent link: https://www.econbiz.de/10012115693
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On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Weißbach, Rafael; von Lieres und Wilkau, Carsten - 2005
Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...
Persistent link: https://www.econbiz.de/10010296668
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Stress testing of the Czech banking sector
Jakubík, Petr; Heřmánek, Jaroslav - 2008
This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...
Persistent link: https://www.econbiz.de/10010322230
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An Analysis of the Effects of the Severance Payment Reform on Credit to Italian SMEs
Calcagno, Riccardo; Kraeussl, Roman; Monticone, Chiara - 2008
bank loans, we also estimate the future outflows of TFR funds due to the reform. …
Persistent link: https://www.econbiz.de/10010325713
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States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
Balling, Morten; Jackson, Patricia; Gnan, Ernest; … - 2013
On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the papers in this publication discuss from different...
Persistent link: https://www.econbiz.de/10011689959
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Implied market loss given default: Structural-model approach
Seidler, Jakub - 2008
This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...
Persistent link: https://www.econbiz.de/10010322322
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The single supervisory mechanism or “SSM”, part one of the Banking Union
Wymeersch, Eddy - 2014
The Regulation on the Single Supervisory Mechanism mandates the European Central Bank to exercise prudential … supervision on the banks located in the Euro area, whether directly by the Bank’s own services for the significant banks, or … instruments on Bank Recovery and Resolution Directive, the Regulations on a Single Resolution Mechanism and on Deposit Guarantee …
Persistent link: https://www.econbiz.de/10011506775
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term …
Persistent link: https://www.econbiz.de/10010300362
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Hunting the Living Dead A “Peso Problem” in Corporate Liabilities Data
Manera, Matteo; Cherubini, Umberto - 2005
Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on...
Persistent link: https://www.econbiz.de/10010312533