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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 Effect of Rollover Risk on Default Risk : Evidence from Bank Financing
Chiu, Wan-Chien - 2015
We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...
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
This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...
Persistent link: https://www.econbiz.de/10013028447
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Does credit scoring improve the selection of borrowers and credit quality?
Albareto, Giorgio; Felici, Roberto; Sette, Enrico - 2016
Persistent link: https://www.econbiz.de/10011943055
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Forced Asset Sales and the Concentration of Outstanding Debt : Evidence from the Mortgage Market
Favara, Giovanni - 2017
We provide evidence that lenders differ in their ex post incentives to internalize price-default externalities associated with the liquidation of collateralized debt. Using the mortgage market as a laboratory, we conjecture that lenders with a large share of outstanding mortgages on their...
Persistent link: https://www.econbiz.de/10012973542
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The real effects of bank distress : evidence from bank bailouts in Germany
Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019
How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different...
Persistent link: https://www.econbiz.de/10012108717
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Two Sides of the Same Coin Insolvency Risk Measurement and Capital Adequacy Rules for Basel III
Gan, Vincent B.Y. - 2017
This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and … integrated measure of risk and capital by disentangling assets, debt and equity; the Firm Insolvency Risk Index (FIRI) that is …
Persistent link: https://www.econbiz.de/10012959099
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Financial liability stress tests : an approach based on the use of a rating migration matrix
Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...
Persistent link: https://www.econbiz.de/10012303645
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Is bank risk appetite relevant to bank default in times of Covid-19?
Pei-Ling Lee; Chun Teck Lye; Lee, Chin - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 109-117
The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 in 12 countries while controlling for bank-specific and country-specific effects over time. A System Generalized Methods of Moments (GMM) model of default probabilities is...
Persistent link: https://www.econbiz.de/10013407192
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Determinants of European bank risk during financial crisis
Jabra, Wiem Ben; Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 5 (2017) 1, pp. 1-20
This paper examines the determinants of European bank risk-taking during major financial crisis. Using a sample of banks from 26 countries over the period 2005–2015, we examine the nature of the relationship between bank risk, bank characteristics, regulatory, institutional and macroeconomic...
Persistent link: https://www.econbiz.de/10011877555