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The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing
Chiu, Wan-Chien - 2015
.3% increase in default rates. We present evidence revealing the extent to which bank financing dependence affects the influence of … rollover risk on default risk. Firms that depend on bank financing suffer the strongest rollover risk, especially during crisis …
Persistent link: https://www.econbiz.de/10013033588
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The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing
Chiu, Wan-Chien - 2015
particular, we ask whether bank-dependent firms suffer greater rollover risk than otherwise similar firms that do not rely on … bank financing (i.e., firms that depend on publicly traded debt). Empirical evidence strongly supports the rollover risk … examine if the rollover risk effect is higher for firms that depend on bank financing, compared with firms without this …
Persistent link: https://www.econbiz.de/10013028447
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 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/10011554963
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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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VAR and Stress Tests : The Impact of Fat-Tail Risk and Systemic Risk on Commercial Banks in Hong Kong and China
So, Jacky Yuk-chow - 2017
and bank diversification, which are affected by the heaviness of the tail and limited liability of bank charter …
Persistent link: https://www.econbiz.de/10012953018
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Bank Stress Testing : A Stochastic Simulation Framework to Assess Banks’ Financial Fragility
Montesi, Giuseppe - 2018
We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy, financial fragility and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is...
Persistent link: https://www.econbiz.de/10012936094
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Bank Stress Testing : A Stochastic Simulation Framework
Montesi, Giuseppe - 2015
drivers that are truly relevant for assessing the bank's capital adequacy, allowing for outputs that can be expressed and …
Persistent link: https://www.econbiz.de/10013034691
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Financial market regulation in Germany under the special focus of capital requirements of financial institutions
Detzer, Daniel - 2014
This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...
Persistent link: https://www.econbiz.de/10010256881
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Lending Implications of U.S. Bank Stress Tests : Costs or Benefits?
Acharya, Viral V. - 2017
The U.S. bank stress tests aim to improve financial system stability. However, they may also affect bank credit supply …
Persistent link: https://www.econbiz.de/10012955765
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An Empirical Study of Bank Stress Testing for Auto Loans
Wu, Deming - 2018
We present an empirical study of stress testing for portfolios of auto loans. We find that loans aged five years or more have significantly higher default probabilities. This finding raises concerns about the increasing maturity of auto loans in recent years. A challenge in stress testing is the...
Persistent link: https://www.econbiz.de/10012937351