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Why do some banks fail in financial crises while others survive? This article answers this question by analysing the effect of the Dutch financial crisis of the 1920s on 142 banks, of which 33 failed. We find that choices of balance sheet composition and product market strategy made in the...
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This paper reviews the market reaction to bank rescue packages announced in six countries between October 2008 and … shareholders as seen in the movement of bank stock prices. Government interventions benefited creditors at the expense of … shareholders, with bank CDS spreads narrowing around the announcements in all cases. Despite a brief positive reaction, bank stock …
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We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...
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