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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

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

Measuring the link between cyclical systemic risk and capital adequacy for Ukrainian banking sector

Shmygel, Alona - 2023

In this paper we investigate the impact of cyclical systemic risk on future bank profitability for a large … on linear local projections which allows us to study the estimated negative impact of cyclical systemic risk on bank … assess the impact of cyclical systemic risk on the tails of the future bank-level profitability distribution. Additionally …

Persistent link: https://www.econbiz.de/10014368443

Bank Opacity, Systemic Risk and Financial Stability

Mies, Michael - 2021

This paper examines the impact of bank opacity on European financial stability. Based on a panel dataset of capital … market-oriented European banks covering the period 2002-2018, it can be shown that bank opacity has a significant influence … mitigation of bank opacity and reducing systemic risk. Both the risk reporting in accordance with IFRS 7 and the measures …

Persistent link: https://www.econbiz.de/10013249070

Traditional banks, shadow banks and the US credit boom : credit origination versus financing

Unger, Robert - 2016

The US credit boom has been identified as one of the causes of the global financial crisis and the resulting debt overhang is seen as the primary reason for the weak economic recovery. Most of the existing literature links the credit boom to the emergence of the shadow banking system. This paper...

Persistent link: https://www.econbiz.de/10011456517

Brož, Václav; Kočenda, Evžen - 2021

the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …

Persistent link: https://www.econbiz.de/10012697108

Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …

Persistent link: https://www.econbiz.de/10012622472

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

Persistent link: https://www.econbiz.de/10012643066

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012061369

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