Showing 1 - 10 of 11,903
Background: This study analyzes the impact of non-performing loans (NPLs) on bank liquidity creation to investigate the … techniques have been used for analysis. Results: Total liquidity creation by Chinese banks is declining, and NPLs ratio has … started to increase following a continuous decline between 2005 and 2012. We find that liquidity creation by Chinese banks …
Persistent link: https://www.econbiz.de/10011499391
decrease a bank's incentive to take risk with its remaining ineligible assets. A greater capacity to respond to liquidity … illiquidity disadvantages of holding risky assets. We then empirically estimate the effect of two liquidity regulations on bank … ratios. Using a difference- in-differences specification, we also do not find evidence that the liquidity coverage ratio …
Persistent link: https://www.econbiz.de/10012839958
Credit risk modeling remains an important research topic both for financial institutions and the academic community due to its significant contribution to the issue of a bank’s capital adequacy. In this paper we build macro models for the default rates of Greek bank’s loan portfolios....
Persistent link: https://www.econbiz.de/10013492537
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
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
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012064522
Stable banks in individual ASEAN countries are essential to the economic stability of the ASEAN region as these countries move towards the goal of greater financial integration in the region. This study comprehensively explores bank risk in Malaysia as compared to the ASEAN region over an...
Persistent link: https://www.econbiz.de/10011881093
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012033284
We find that banks subject to the Liquidity Coverage Ratio (LCR) create less liquidity per dollar of assets in the post …-off between lower liquidity creation and greater resilience from liquidity regulations …
Persistent link: https://www.econbiz.de/10012898995