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Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Löhr, Sebastian - 2015
Correlations are the main drivers for credit portfolio risk and constitute a Major element in pricing credit …
Persistent link: https://www.econbiz.de/10013034784
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How do income diversification, firm size and capital ratio affect performance? : evidence for bank holding companies
Brighi, Paola; Venturelli, Valeria - In: Applied financial economics 24 (2014) 19/21, pp. 1375-1392
Persistent link: https://www.econbiz.de/10010460137
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Estimating the impact of shocks to bank capital in the euro area
Kanngiesser, Derrick; Martin, Reiner; Maurin, Laurent; … - 2017
We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking...
Persistent link: https://www.econbiz.de/10011662933
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Do macroprudential policy instruments reduce the procyclical impact of capital ratio on bank lending? : cross-country evidence
Olszak, Małgorzata; Roszkowska, Sylwia; Kowalska, Iwona - In: Baltic journal of economics 19 (2019) 1, pp. 1-38
In this paper, we ask about the capacity of macroprudential policies to reduce the procyclical impact of capital ratio on bank lending. We focus on aggregated macroprudential policy measures and on individual instruments and test whether their effect on the association between lending and...
Persistent link: https://www.econbiz.de/10012010272
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The impact of capital ratio on lending of EU banks - the role of bank specialization and capitalization
Olszak, Małgorzata; Pipień, Mateusz; Roszkowska, Sylwia - 2015
In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between bank loan growth and bank capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank capital on lending is relatively strong in cooperative...
Persistent link: https://www.econbiz.de/10012030770
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Bayesian treatments for panel data stochastic frontier models with time varying heterogeneity
Liu, Junrong; Sickles, Robin C.; Tsionas, Efthymios G. - In: Econometrics : open access journal 5 (2017) 3, pp. 1-21
-sample performance of our estimators. An empirical study of efficiency trends in the largest banks operating in the U.S. from 1990 to …
Persistent link: https://www.econbiz.de/10011711007
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Corporate Governance und Unternehmenserfolg : eine empirische Analyse des Zusammenhangs zwischen den Führungs-, Kontroll- und Anreizstrukturen und der Geschäftsentwicklung deutsche...
Steinbrecher, Johannes - 2016
needed how banks are governed and how bank governance is associated with performance and risk taking. This report deals with … corporate governance matter. Higher executive team expertise is associated with superior bank outcomes regarding performance …, risk and efficiency. Compensation analyses show strong variation in compensation schemes between banks and bank divisions …
Persistent link: https://www.econbiz.de/10011742813
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The impact of macroeconomic factors on risks in the banking sector : a cross-country empirical assessment
Bohachova, Olga (contributor) - 2008
This paper explores the links between macroeconomic conditions and individual bank risk. Using capital adequacy ratios … as a broad measure of risk sustainability, a linear mixed effects model for a large international panel of banks for the … relationship between concentration of the banking sector and banks' risk taking is statistically less robust. -- international …
Persistent link: https://www.econbiz.de/10003768137
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Default rates in the loan market for SMEs : evidence from Slovakia
Fidrmuc, Jarko; Hainz, Christa; Malesich, Anton - 2007
Banks entering an emerging market face a lot of uncertainty about the risks involved in lending. We use a unique unbalanced panel of nearly 700 short-term loans made to SMEs in Slovakia between January 2000 and June 2005. Of the loans granted, on average 6.0 per cent of the firms defaulted....
Persistent link: https://www.econbiz.de/10003470476
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Monetary policy effects on bank loans in Germany : a panel-econometric analysis
Worms, Andreas - 2001
A crucial condition for the existence of a credit channel through bank loans is that monetary policy should be able to change bank loan supply. This paper contributes to the discussion on this issue by presenting empirical evidence from dynamic panel estimations based on a dataset that comprises...
Persistent link: https://www.econbiz.de/10011419446