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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that …-implied capital measure for policy makers. We propose an econometric model for the combined simulation of equity and CDS prices, which …
Persistent link: https://www.econbiz.de/10013168743
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Contingent Convertibles : Can the Market Handle Them?
Kiewiet, Gera - 2017
The recent financial crisis has led to the introduction of contingent convertible instruments (CoCos) in the capital framework for banks. Although CoCos can provide benefits, such as automatic recapitalization of troubled banks, their inherent risks raise questions about whether they increase...
Persistent link: https://www.econbiz.de/10012946144
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Raising Capital When the Going Gets Tough : U.S. Bank Equity Issuance from 2001 to 2014
Black, Lamont - 2016
We analyze equity issuance by publicly-traded U.S. banks during 2001-2014 through exchanges (SEOs), private placements … (PIPEs), and TARP. Equity markets were important for bank recapitalization in the crisis, when SEO and PIPE issuance peaked …
Persistent link: https://www.econbiz.de/10012985362
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Contingent convertibles : can the market handle them?
Kiewiet, Gera; Lelyveld, Iman van; Wijnbergen, Sweder van - 2017
The recent financial crisis has led to the introduction of contingent convertible instruments (CoCos) in the capital framework for banks. Although CoCos can provide benefits, such as automatic recapitalization of troubled banks, their inherent risks raise questions about whether they increase...
Persistent link: https://www.econbiz.de/10011735242
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Contingent Convertibles : Can the Market Handle Them?
Kiewiet, Gera - 2017
The recent financial crisis has led to the introduction of contingent convertible instruments (CoCos) in the capital framework for banks. Although CoCos can provide benefits, such as automatic recapitalization of troubled banks, their inherent risks raise questions about whether they increase...
Persistent link: https://www.econbiz.de/10012946393
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Underpricing in the euro area corporate bond market : new evidence from post-crisis regulation and quantitative easing
Rischen, Tobias; Theissen, Erik - 2018
We conduct the most extensive study of underpricing in the euro area bond market so far and find strong evidence of … underpricing. In cross-sectional regressions we find patterns that are consistent with bookbuilding-based theories of underpricing … and inconsistent with liquidity-based explanations. The underpricing has increased considerably during the financial …
Persistent link: https://www.econbiz.de/10011879015
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How Did Young Firms Fare During the Great Recession? Evidence from the Kauffman Firm Survey
Zarutskie, Rebecca - 2015
We examine the evolution of several key firm economic and financial variables in the years surrounding and during the Great Recession using the Kauffman Firm Survey, a large panel of young firms founded in 2004 and surveyed for eight consecutive years. We find that these young firms experienced...
Persistent link: https://www.econbiz.de/10013014318
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Stressed, not frozen : the federal funds market in the financial crisis
Afonso, Gara; Kovner, Anna; Schoar, Antoinette - 2010 - Rev.
This paper examines the impact of the financial crisis of 2008, specifically the bankruptcy of Lehman Brothers, on the federal funds market. Rather than a complete collapse of lending in the presence of a market-wide shock, we see that banks became more restrictive in their choice of...
Persistent link: https://www.econbiz.de/10003948809
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Stressed, Not Frozen : The Federal Funds Market in the Financial Crisis
Afonso, Gara - 2011
We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a larger role than does liquidity hoarding: the day after Lehman Brothers' bankruptcy, loan terms...
Persistent link: https://www.econbiz.de/10013133836
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Revisiting the link between systemic risk and competition based on network theory and interbank exposures
Bátiz-Zuk, Enrique; Lara-Sánchez, José L. - 2021
This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1-2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this...
Persistent link: https://www.econbiz.de/10012796834