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Technical advice in accordance with Article 39(b) 2 of the CRA Regulation regarding the appropriateness of the development of a European creditworthiness assessment for sovereign d...
European Securities and Markets Authority - 2014
Article 39b(2) of the CRA Regulation states that the European Commission shall adopt a report by end 2014 – after receiving ESMA’s technical advice – on the appropriateness of the development of a European creditworthiness assessment for sovereign debt.In its request for advice, the...
Persistent link: https://www.econbiz.de/10010392282
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Credit Rating Agencies’ 2014 market share calculations for the purposes of Article 8d of the CRA Regulation
European Securities and Markets Authority - 2014
One of the objectives of the CRA Regulation is to increase competition in the markets for credit ratings by encouraging … issuers to use smaller credit rating agencies. To this end, Article 8d(1) of the CRA Regulation states that where issuers or … its website every year, indicating their total market share and the types of credit ratings issued. …
Persistent link: https://www.econbiz.de/10010480783
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Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - 2009
We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates … secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …
Persistent link: https://www.econbiz.de/10009640472
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The dark side of bank wholesale funding
Huang, Rocco; Ratnovski, Lev - 2010
Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...
Persistent link: https://www.econbiz.de/10009640317
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Macro-financial vulnerabilities and future financial stress
Lo Duca, Marco; Peltonen, Tuomas A. - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10009640687
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Liquidity hoarding and interbank market spreads
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10009640453
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The minimum liquidity deficit and the maturity structure of central banks' open market operations
Eisenschmidt, Jens; Holthausen, Cornelia - 2010
This paper studies the relationship between the size of the banking sector’s refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is found that marginal rates at central bank auctions may...
Persistent link: https://www.econbiz.de/10009640515
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Financial imbalances and financial fragility
Boissay, Frédéric - 2011
with the recent literature on global imbalances. Financial integration permits a more efficient allocation of savings …
Persistent link: https://www.econbiz.de/10009640693
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A framework for collateral risk control determination
Cossin, Didier; Huang, Zhijiang; Auron-Nerin, Daniel; … - 2003
theoretical literature on credit and interest risk, provides an alternative quantifiable and objective approach to the existing …
Persistent link: https://www.econbiz.de/10009639858
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Financial factors in economic fluctuations
Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10009640348