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Systemic Risk in the European Banking Sector
Borri, Nicola - 2012
Brunnermeier (2011) based on the CoVaR and find that size is a predictor of a bank contribution to systemic risk, but it is not the …
Persistent link: https://www.econbiz.de/10013103612
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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
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Bank Lobbying as a Financial Safety Net : Evidence from the Post-Crisis U.S. Banking Sector
Asai, Kentaro - 2020
This paper argues that creditors reflect the financial-safety-net aspect of bank lobbying, plausibly considering the … connection between bank lobbying and government bailouts. Using a structural approach, I show that bank lobbying is negatively … associated with the occurrence of a run-like equilibrium, as is deposit insurance. The estimated effect on bank risk and value is …
Persistent link: https://www.econbiz.de/10012852488
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A new approach to modelling banks' equity volatility : adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
investor worries over whether the bank will experience funding or solvency problems. In line with this we find that calm … robustness of a bank when it comes to risks that affect both the solvency and liquidity situation of the bank. …
Persistent link: https://www.econbiz.de/10011740702
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Macro and Micro Prudential Regulatory Failures Amongst Financial Institutions in the United Kingdom : Lessons from Australia
Lui, Alison - 2018
regulation and oversight to provide a more stable financial environment. The author concludes that liquidity and bank leverage in …
Persistent link: https://www.econbiz.de/10012940557
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
bank måles som bankens tilbøjelighed til at være underkapitaliseret i tilfælde af en krise, dvs. når systemet som hele er …
Persistent link: https://www.econbiz.de/10011439967
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CEO Risk Incentives and the Riskiness of Securitization Transactions in the Financial Industry
Fabrizi, Michele - 2016
The paper investigates the role of CEO risk incentives in increasing the riskiness of securitization transactions in the financial industry. Using a sample of US financial institutions, and a system model to account for the endogeneity problem between risk incentives and securitization, we...
Persistent link: https://www.econbiz.de/10012994251
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Uncertainty and Risk Management after the Great Moderation : The Role of Risk (Mis)Management by Financial Institutions
Blommestein, Hans J. - 2010
Persistent link: https://www.econbiz.de/10013150594
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Measuring Systemic Risk : A Comparison of Alternative Market-Based Approaches
Kleinow, Jacob - 2020
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
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The Riskiness of Credit Allocation and Financial Stability
Brandao-Marques, Luis - 2019
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012859862