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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

Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024

European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST …

Persistent link: https://www.econbiz.de/10014530302

Financial market regulation in Germany under the special focus of capital requirements of financial institutions

Detzer, Daniel - 2014

This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...

Persistent link: https://www.econbiz.de/10010256881

Does credit growth in the EMU banking sector follow its capital adequacy?

Veselinovič, Draško; Fabijan, Janez; Vadnjal, Jaka - In: Journal of central banking theory and practice 12 (2023) 2, pp. 33-62

We put our hypothesis very straightforward, considering the euro area and the whole European Economic and Monetary Union (EMU) banking sector. The paper's central hypothesis that capital adequacy of the EMU banking sector influenced credit growth and activities in the nonfinancial sector was...

Persistent link: https://www.econbiz.de/10014316648

The countercyclical capital buffer and international bank lending: evidence from Canada

Chen, David; Friedrich, Christian - 2021 - Last updated: November 29, 2021

We examine the impact of the recently introduced Basel III countercyclical capital buffer (CCyB) on foreign lending activities of Canadian banks. Using panel data for the six largest Canadian banks and their foreign activities in up to 94 countries, we explore the variation in CCyB rates across...

Persistent link: https://www.econbiz.de/10012694517

Rigorous Capital Requirements Under Basel III : Possible Impact on Turkey's Financial Sector

Taskinsoy, John - 2018

Turkey has experienced the biggest financial and economic shock in 2001 resulting a massive overhauling of its entire banking system that eventually cost the government over $50 billion. The IMF was involved in the recovery process from the beginning providing Turkey nearly $24 billion of...

Persistent link: https://www.econbiz.de/10012908845

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

Stress Testing the Financial Macrocosm

Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thom - 2021

What kind of models do we need to guide us through the next crisis? If past crises are any indication, we need to explore new approaches. During the Great Financial Crisis, the models that existed at the time were of little value because they focused on firm-level interactions and did not...

Persistent link: https://www.econbiz.de/10013214169

Evaluating the Impact of Fair Value Accounting on Financial Institutions : Implications for Accounting Standards Setting and Bank Supervision

Shaffer, Sanders - 2012

. Materials reviewed as part of this analysis include public bank regulatory filings, financial statements, and fair value … research. The bank supervisory rating approach referred to as CAMELS is used as an organizing principle for the paper. CAMELS … bank supervisory perspective alongside the more traditional investor's views on decision usefulness. The overall conclusion …

Persistent link: https://www.econbiz.de/10013110584

Basel II and Operational Risk : Implications for Risk Measurement and Management in the Financial Sector

Chapelle, Ariane - 2010

management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that …

Persistent link: https://www.econbiz.de/10013137098

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