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Systemic Risk, Corporate Governance and Regulation of Banks Across Emerging Countries
Andries, Alin Marius - 2016
This paper investigates the impact of governance and regulation on systemic risk across a sample of banks from 10 Emerging CEE countries during 2005-2012. Overall, our results show that tight internal risk management mechanisms and shareholder-friendly supervisory boards are associated with...
Persistent link: https://www.econbiz.de/10012997465
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Is There a Competition-Stability Trade-Off in European Banking?
Leroy, Aurélien - 2016
The trade-off between bank competition and financial stability has always been a widely and controversial issue, both … among policymakers and academics. This paper empirically re-investigates the relationship between competition and bank risk … consider both individual and systemic dimension of risk. Bank-individual risk is measured by the Z-score and the distance …
Persistent link: https://www.econbiz.de/10013004570
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The UBS-Credit Suisse Merger : Helvetia's Gift
Böni, Pascal; Kroencke, Tim-Alexander; Vasvari, Florin P. - 2023
The UBS- Credit Suisse (CS) merger in March 2023, one of the biggest banking unions in history, was an emergency rescue deal engineered by Swiss authorities to avoid more market-shaking turmoil in global banking. The merger resulted in a significant increase in the combined stakeholder net...
Persistent link: https://www.econbiz.de/10014349670
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Bank Consolidation, Connectedness, and Systemic Risk
Dontis-Charitos, Panagiotis; Leong, Soon - 2023
We evaluate changes in system-wide information transmission following US and European bank M&A. We generalize Granger … extend prior work to include bank-nonbank deals. We find that while US acquirers contribute more to extreme systemic risk …
Persistent link: https://www.econbiz.de/10014350263
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Financial Stability and Concentration : Evidence from Emerging Europe
Capraru, Bogdan - 2017
commercial banks from 17 countries of Central and Eastern Europe during the period 2007-2012. Empirical findings highlight the …
Persistent link: https://www.econbiz.de/10012965660
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Has "too big to fail" been solved? : a longitudinal analysis of major U.S. banks
Thosar, Satish; Schwandt, Bradley - In: Journal of risk and financial management : JRFM 12 (2019) 1/24, pp. 1-14
In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...
Persistent link: https://www.econbiz.de/10012022346
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Fire-sale spillovers and systemic risk
Duarte, Fernando; Eisenbach, Thomas M. - 2013
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10010202672
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring the capital shortfall of large U.S. banks
Jondeau, Eric; Khalilzadeh, Amir - 2018
We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...
Persistent link: https://www.econbiz.de/10011877252