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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
incentives, risk management models and procedures, conflicts of interest and bank strategies. Their perspectives are quite …
Persistent link: https://www.econbiz.de/10011689953
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
We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...
Persistent link: https://www.econbiz.de/10010281566
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10010318787
structures mitigated-or amplified-the impact of this risk- off shock. A higher share of funding from non-bank financial …
Persistent link: https://www.econbiz.de/10014544666
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
eighteen subsidiaries of First City Bancorporation in 1992 when lead banks from each of these Texas-based bank holding … for studying the impact of bank failure on local-area real economic activity. I find that the closings of the subsidiaries … were associated with a significant decline in bank lending that led to a permanent reduction in real county income of about …
Persistent link: https://www.econbiz.de/10010283379
This paper considers the role of Federal Home Loan Bank (FHLB) advances in stabilizing their commercial bank members …. Using panel vector autoregression (VAR) techniques, we estimate recent dynamic responses of U.S. bank portfolios to FHLB … advance shocks, bank lending shocks, and macroeconomic shocks. Our empirical findings suggest that FHLB advances are just as …
Persistent link: https://www.econbiz.de/10010292320
bank loans, we also estimate the future outflows of TFR funds due to the reform. …
Persistent link: https://www.econbiz.de/10010325713