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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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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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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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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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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
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Risk Management after the Great Crash
Blommestein, Hans J. - 2010
This study takes a closer look at the role of risk (mis)management by financial institutions in the emergence of the Great Crash. It is explained that prior to the crisis too much reliance was placed on the quantitative side of risk management, while not enough attention was paid to qualitative...
Persistent link: https://www.econbiz.de/10013146984