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Europe in a transition status. The adoption of Euro, the establishment of the European Central Bank, the Basil III initiative …
Persistent link: https://www.econbiz.de/10013059200
Though overall bank performance from July 2007 to December 2008 was the worst since the Great Depression, there is … significant variation in the cross-section of stock returns of large banks across the world during that period. We use this …, except that large banks from countries with more restrictions on bank activities performed better and decreased loans less …
Persistent link: https://www.econbiz.de/10013133787
Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression …, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We … performance of banks during the credit crisis. More specifically, we investigate whether bank performance is related to bank …
Persistent link: https://www.econbiz.de/10013152303
We use a large sample of non-US banks to examine the propagation of the 2007-2009 crisis. Using both stock market and structural variables we test whether the relative incidence of the crisis was better explained by crisis models or by the VaR-type analysis of the Basel system. Consistent with...
Persistent link: https://www.econbiz.de/10013115487
asset risk, measured by either the risk weightings of the Basel system or individual bank volatility, has a perverse …
Persistent link: https://www.econbiz.de/10012940271
range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …
Persistent link: https://www.econbiz.de/10009784871
by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … effects between sovereign vs. bank default risk. By contrast, since the sovereign debt crisis period we observe significant … dependencies between the regional sovereign CDS and the regional bank CDS in other regions, predominantly for the Asia-Pacific and …
Persistent link: https://www.econbiz.de/10013111635
This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005-2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii) delta conditional value at risk, and (iv) lower tail...
Persistent link: https://www.econbiz.de/10012855872
. These events include financial crises, phenomenal incidents that shock the economic world and pose significant challenges …
Persistent link: https://www.econbiz.de/10012206546
countries, using that index to examine relations between national codes of governance, individual bank risk governance and both … results will be useful for bank regulators and bank managers …
Persistent link: https://www.econbiz.de/10012999372