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) on bank capital, risk, and performance. We find that high risk weighted asset ratios tend to attract supervisory … intervention. Sanctions whose cause lies at the core of bank safety and soundness curtail the risk-weighted asset ratio, but … amplify the risk of insolvency and returns volatility, which implies that these sanctions do not improve the risk profile of …
Persistent link: https://www.econbiz.de/10011111185
This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. We define … exposures of banks. We find that banks with a weak capital and/or funding position are particularly vulnerable to risk …
Persistent link: https://www.econbiz.de/10011083173
Does better corporate governance unambiguously improve the risk/return efficiency of banks? Or does either a re … reinforcing effects? The authors relate bank efficiency to shortfalls from a stochastic risk/return frontier. They analyze how … corporate governance mechanisms have been able to improve risk/return efficiency when the economic, regulatory, and supervisory …
Persistent link: https://www.econbiz.de/10011090672
by introducing a market-based capital measurement that better captures the dynamics of bank risk and returns. Evidence … confirms that these market-based capital adequacy metrics are much more sensitive to risk factors and more responsive to …
Persistent link: https://www.econbiz.de/10011118055
This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … less traditional banking activities are particularly vulnerable to risk spillovers. At the country level, the debt ratio is …
Persistent link: https://www.econbiz.de/10010709495
This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … vulnerable to risk spillovers. At the country level, the debt ratio is the most important driver of contagion. …
Persistent link: https://www.econbiz.de/10011272773
First externalities risk due to the size of the companies or the principle that large companies are also at risk of … for savers and investors are taken. If we accept-so conservatively that the risk exposure of a company is limited by its … risk foreseeable losses with positive externalities, then, what can happen with negative derivatives risk capital …
Persistent link: https://www.econbiz.de/10011110979
assistance on bank risk taking. Bailed-out banks initiate riskier loans and shift assets toward riskier securities after … receiving government support. However, this shift in risk occurs mostly within the same asset class and, therefore, remains … appear safer according to regulatory ratios, but show an increase in volatility and default risk. These findings are robust …
Persistent link: https://www.econbiz.de/10011039273
preferred to stay traditional banks? How the models chosen by banks translated into their risk-return profiles? And finally … in trading and do not diversify. Therefore, the most “optimal” from risk-return profile seems to be the “balanced” model …
Persistent link: https://www.econbiz.de/10011109731
Large banks derive a funding advantage from being too-big-to-fail, while small banks do not. To estimate the funding advantage we explain the CDS spreads of small banks in six major European countries during the crisis by market fundamentals and bank-specific characteristics. Next, we...
Persistent link: https://www.econbiz.de/10011140932