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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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Does Basel II pillar 3 risk exposure data help to identify risky banks?
Sabiwalsky, Ralf - 2012
risk factors, and uses measures of bank sensitivity with respect to these risk factors. We use two sets of sensitivity … as if no market prices of equity were available for the bank the forecast is made for. We do this for banks for which …
Persistent link: https://www.econbiz.de/10009427655
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Does Basel II Pillar 3 Risk Exposure Data Help to Identify Risky Banks?
Sabiwalsky, Ralf - 2012
risk factors, and uses measures of bank sensitivity with respect to these risk factors. We use two sets of sensitivity … as if no market prices of equity were available for the bank the forecast is made for. We do this for banks for which …
Persistent link: https://www.econbiz.de/10013109254
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Forbearance, Prompt Closure, and the Valuation of Bank Subordinated Debt
Chen, Yehning - 2012
This study develops a multi-period structural model to value bank subordinated debt (subdebt) under different … risks, bank characteristics and regulatory policies affect subdebt prices and yield spreads. It finds that the … have the opposite effects. Also, subdebt spreads are less sensitive to bank risk when PCA is imposed than when capital …
Persistent link: https://www.econbiz.de/10013101079
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Systemic Risk and Capital Adequacy
Woebbeking, Fabian - 2018
We assess transmission channels of systemic risk and the effects of capital regulation in the European Banking Union. Two interconnected channels of risk are analysed by employing a data-driven, heterogeneous network model. First, the risk from shocks to corporate, sovereign and retail debt...
Persistent link: https://www.econbiz.de/10012934262
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Global versus non-global banks : a capital ratios-based analysis
Drakos, Kōnstantinos; Malandrakis, Ioannis - In: Journal of central banking theory and practice 10 (2021) 2, pp. 5-22
This paper examines the Leverage Ratio and Total Capital Ratio of global versus non-global banks in both the pre- and post-crisis periods. A panel data set of 165 global and non-global financial institutions from 38 countries is used for the period 1999-2015 and a random effects model is...
Persistent link: https://www.econbiz.de/10012549173
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Institutional Environment and Bank Capital Ratios
Alraheb, Tammuz - 2018
We investigate the influence of the institutional environment on bank capital ratios. Using a sample of 149 banks …. Our findings contribute to the bank capital structure literature and have important policy implications for developing …
Persistent link: https://www.econbiz.de/10012934614
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How do bank capital and capital buffer affect risk : empirical evidence from large US commercial banks
Abbas, Faisal; Younas, Zahid Irshad - In: Journal of central banking theory and practice 10 (2021) 2, pp. 109-131
This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the … behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show … that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative …
Persistent link: https://www.econbiz.de/10012549240
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Nexus between bank capital and risk-taking behaviour : empirical evidence from US commercial banks
Abbas, Faisal; Ali, Shoaib; Moudud-Ul-Huq, Syed; … - In: Cogent business & management 8 (2021) 1, pp. 1-17
ratio on commercial bank risk-taking over the period from 2002 to 2019 using a two-step GMM method. The finding reveals that …
Persistent link: https://www.econbiz.de/10012649561
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Dynamics of bank capital ratios and risk-taking : evidence from US commercial banks
Abbas, Faisal; Ali, Shoaib - In: Cogent economics & finance 8 (2020) 1, pp. 1-21
-risk-based capital ratios and bank risk-taking. The findings also demonstrate that an increase in capital buffer ratios decreases the …
Persistent link: https://www.econbiz.de/10013179679