Narrow search
Showing 1 - 10 of 1,601
Cover Image
Do CDS Maturities Matter in the Evaluation of the Information Content of Regulatory Banking Stress Tests? Evidence from European and Us Stress Tests
Agbodji, Amavi S. S.; Nys, Emmanuelle; Sauviat, Alain - 2021
This paper questions the relevance of using only the 5-year maturity CDS spreads to examine the CDS market response to the disclosure of a regulatory stress test results. Since the stress testing exercises are performed on short-term forward-looking stressed scenarios (1 to 3 years), we assume...
Persistent link: https://www.econbiz.de/10013236938
Cover Image
Regulation and risk shuffling in bank securities portfolios
Fuster, Andreas; Vickery, James - 2018
change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some … characteristics. We find little clear evidence that banks respond by reducing the riskiness of their securities portfolios, although … there is some evidence of a greater use of derivatives to hedge securities exposures. Instead, banks respond by …
Persistent link: https://www.econbiz.de/10011868435
Cover Image
Risk Shifting and Regulatory Arbitrage : Evidence from Operational Risk
Clark, Brian J. - 2017
Regulations leading up to the financial crisis of 2007-2009 provided incentives for banks shift their risk profiles toward less regulated areas. We focus on the case of operational risk which went from being a relatively benign and largely unregulated risk type to a major risk that now accounts...
Persistent link: https://www.econbiz.de/10012953596
Cover Image
Market Risk-Based Capital Requirements, Trading Activity, and Bank Risk
Holod, Dmytro - 2017
This study investigates if market risk-based capital requirements (MRR) implemented in 1998 mitigated bank risk associated with trading activities. Recognizing that only banks with sufficiently high trading activities are subject to the MRR (regulated), we implement a difference-in-difference...
Persistent link: https://www.econbiz.de/10012968000
Cover Image
Do 'Too-Big-To-Fail' Banks Take on More Risk?
Afonso, Gara - 2014
The notion that some banks are “too big to fail” builds on the premise that governments will offer support to avoid the adverse consequences of their disorderly failures. However, this promise of support comes at a cost: Large, complex, or interconnected banks might take on more risk if they...
Persistent link: https://www.econbiz.de/10013055917
Cover Image
Marginal Leverage Ratio as a Monitoring Tool of Systemic Risk
Villar Burke, Javier - 2015
This paper discusses the concept of leverage, its components and how to measure and monitor it. It proposes an innovative approach to assessing leverage based on flows using the concept of a marginal leverage ratio, which reveals the leverage related to new activities, as a valuable supplement...
Persistent link: https://www.econbiz.de/10013022881
Cover Image
Assessing Bank Leverage Through Flows : An Early Warning Tool of Risk-Taking
Villar Burke, Javier - 2015
This paper discusses the concept of leverage, its components and how to measure and monitor it. It proposes an innovative approach to assessing leverage based on flows using the concept of a marginal leverage ratio, which reveals the leverage related to new activities, as a valuable supplement...
Persistent link: https://www.econbiz.de/10013031638
Cover Image
The impact of regulatory stress testing on bank's equity and CDS performance
Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2018 - This version: May, 2018
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...
Persistent link: https://www.econbiz.de/10011906487
Cover Image
Regulatory stress testing and bank performance
Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2020 - This version: April, 2020
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...
Persistent link: https://www.econbiz.de/10012210061
Cover Image
Shadow banking : financial intermediation beyond banks
Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018
Persistent link: https://www.econbiz.de/10011790739