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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
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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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Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments
Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …
Persistent link: https://www.econbiz.de/10012024808
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A new indicator of bank funding cost
Jondeau, Eric; Mojon, Benoît; Sahuc, Jean-Guillaume - 2020
The cost of bank funding on money markets is typically the sum of a risk-free rate and a spread that reflects rollover … usefully complements its spot equivalent, the IBOR-OIS spread, in the monitoring of bank funding risk in real time. First, it … power for economic growth and bank lending in the United States and the euro area than the spot IBOR-OIS, credit default …
Persistent link: https://www.econbiz.de/10012219137
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The augmented bank balance-sheet channel of monetary policy
Bittner, Christian; Bonfim, Diana; Heider, Florian; … - 2022
Central Bank's policy-rate cuts in mid-2014. The pass-through of the rate cuts to banks' funding costs differs across the euro … provide a simple model of an augmented bank balance-sheet channel where in addition to costly external financing, there is …
Persistent link: https://www.econbiz.de/10013163037
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How banks respond to negative interest rates : evidence from the Swiss exemption threshold
Basten, Christoph; Mariathasan, Mike - 2018
Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank …
Persistent link: https://www.econbiz.de/10011795014
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The augmented bank balance-sheet channel of monetary policy
Bittner, Christian; Bonfim, Diana; Heider, Florian; … - 2022
Central Bank’s policy-rate cuts in mid-2014. The pass-through of the rate cuts to banks’ funding costs differs across the euro … provide a simple model of an augmented bank balance-sheet channel where in addition to costly external financing, there is …
Persistent link: https://www.econbiz.de/10013259629