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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 substantial mortgage lender. In fact, ten years...
Persistent link: https://www.econbiz.de/10011689937
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Estimating probabilities of default for German savings banks and credit cooperatives
Porath, Daniel - 2004
information for forecasting banks' defaults. Recent findings for the USA have cast some doubt on the usefulness of macroeconomic … use a new dataset which contains information about financial distress and financial strength of all German savings banks … information for banks' risk assessment. Contrary to recent literature, we find that macroeconomic information significantly …
Persistent link: https://www.econbiz.de/10010295893
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Coordinated failure? A cross-country bank failure prediction model
Montgomery, Heather; Santoso, Wimboh; Besar, Dwityapoetra S. - 2005
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model that allows for cross-correlation of the error terms....
Persistent link: https://www.econbiz.de/10010279751
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Who panics during panics? Evidence from a nineteenth century bank
Ó Gráda, Cormac; White, Eugene N. - 2002
Persistent link: https://www.econbiz.de/10010293886
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Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle
Matros, Philipp; Vilsmeier, Johannes - 2012
We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The ob- tained time series are...
Persistent link: https://www.econbiz.de/10010294714
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Contagion between European and US banks: Evidence from equity prices
Fricke, Daniel - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US banks. The fact that many regulators have no detailed data sets about interbank cross-exposures raises the necessity of finding market-based indicators in order to analyze the...
Persistent link: https://www.econbiz.de/10010274429
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Bank competition, asset allocations and risk of failure: An empirical investigation
Boyd, John; De Nicolò, Gianni; Jalal, Abu M. - 2010
This study is an empirical investigation of theoretical predictions concerning the impact of bank competition on bank risk and asset allocations. Recent work (Boyd, De Nicolò and Jalal, 2009, BDNJ henceforth) predicts that as competition in banking increases, the loan-to-asset ratio will rise...
Persistent link: https://www.econbiz.de/10010274944
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Contagion effects of the Silicon Valley Bank run
Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023
This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank...
Persistent link: https://www.econbiz.de/10014540982
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Explaining bank failures in the United States: The role of self-fulfilling prophecies, systemic risk, banking regulation, and contagion
Herger, Nils - 2008
Using count data on the number of bank failures in US states during the 1960 to 2006 period, this paper endeavors to establish how far sources of economic risk (recessions, high interest rates, inflation) or differences in solvency and branching regulation can explain some of the fragility in...
Persistent link: https://www.econbiz.de/10011430078
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Resolving large financial intermediaries: banks versus housing enterprises
Eisenbeis, Robert A.; Frame, W. Scott; Wall, Larry D. - 2004
This paper examines the policy issues with respect to resolving the possible failure of housing enterprises Fannie Mae or Freddie Mac. The authors compare and contrast these issues with those raised in the context of large bank failures and also identify important differences in the extant...
Persistent link: https://www.econbiz.de/10010397615