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Executive Compensation and Risk-Taking of Chinese Banks

Huang, Qiubin - 2020

We document a significantly positive relationship between executive compensation and risk-taking of Chinese listed banks over the 2007–2018 period. The finding is robust to the risk measures (Z-score, systematic risk and stock return volatility) used, the way to calculate executive...

Persistent link: https://www.econbiz.de/10012834812

Leverage, CEO Risk-Taking Incentives and Bank Failure during the 2007-2010 Financial Crisis

Boyallian, Patricia - 2017

Usual measures of the risk-taking incentives of bank CEOs do not capture the risk-shifting incentives that the exposure of a CEO's wealth to his firm's stock price (delta) creates in highly levered firms. We find evidence consistent with the importance of these incentives for bank CEOs: In a...

Persistent link: https://www.econbiz.de/10012972096

CEO Pay Gap and Bank Risk-taking

DeYoung, Robert - 2019

The large compensation received by bank executives is among the many factors blamed for the risk-taking that led to the 2008-2009 financial crisis. We test whether and how pay disparities between CEO and non-CEO executives—the so-called CEO pay gap—influenced risk taking at publicly traded...

Persistent link: https://www.econbiz.de/10012858941

CEO Risk Incentives and the Riskiness of Securitization Transactions in the Financial Industry

Fabrizi, Michele - 2016

The paper investigates the role of CEO risk incentives in increasing the riskiness of securitization transactions in the financial industry. Using a sample of US financial institutions, and a system model to account for the endogeneity problem between risk incentives and securitization, we...

Persistent link: https://www.econbiz.de/10012994251

Bank risk proxies and the crisis of 2007/09 : a comparison

Noth, Felix; Tonzer, Lena - 2015

Persistent link: https://www.econbiz.de/10011334500

Risk diversification by European financial conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

Persistent link: https://www.econbiz.de/10011346454

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

Macroprudential liquidity stress test : an application to Indonesian banks

Taruna, Aditya Anta; Harun, Cicilia Anggadewi; Nattan, … - In: Journal of central banking theory and practice 9 (2020), pp. 165-187

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June...

Persistent link: https://www.econbiz.de/10012306705

Assessing systemic risk : an analysis of the German banking sector

Rotermund, Sophie-Dorothee - 2019

banking sector. Precisely, it is questioned whether currently employed systemic risk indicators are able to account for banks … indicators are indeed able to account for the German banking sector's heterogeneity, providing insight into different bank types … risk. Structural features of the German banking sector amplify the risk of individual institutions and thus their …

Persistent link: https://www.econbiz.de/10012117773

Bank capital buffers in a dynamic model

Mankart, Jochen; Michaelides, Alexander G.; Pagratis, Spyros - 2019

We estimate a dynamic structural banking model to examine the interaction between risk-weighted capital adequacy and …

Persistent link: https://www.econbiz.de/10011955629

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