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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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LTV and DTI Limits - Going Granular
Jácome, Luis I - 2015
SAR, Korea, Malaysia, Poland, and Romania. Insights include: rapid growth in high-LTV loans with long maturities or in the …
Persistent link: https://www.econbiz.de/10013016601
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Cyclicality and Firm-size in Private Firm Defaults
Jensen, Thais Laerkholm; Lando, David; Medhat, Mamdouh - 2016
The Basel II/III and CRD-IV Accords reduce capital charges on bank loans to smaller firms by assuming that the default probabilities of smaller firms are less sensitive to macroeconomic cycles. We test this assumption in a default intensity framework using a large sample of bank loans to private...
Persistent link: https://www.econbiz.de/10014124273
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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 … 1930s up to the financial crisis. Two main trends are identified: a gradual softening of the eligibility criteria for … trend has been reversed with the regulatory reforms following the financial crisis. Internal risk models will still play a …
Persistent link: https://www.econbiz.de/10010256881
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in … provide useful information to policy makers to devise effective responses to financial crises. …
Persistent link: https://www.econbiz.de/10010518789
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in … provide useful information to policy makers to devise effective responses to financial crises. …
Persistent link: https://www.econbiz.de/10010519820
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Do sustainability risks affect credit ratings? : evidence from European Banks
Samaniego-Medina, Reyes; Giraldez-Puig, Pilar - In: Amfiteatru economic : an economic and business research … 24 (2022) 61, pp. 720-738
research provides a comprehensive view of the impact of ESG controversies on credit ratings awarded to European financial …
Persistent link: https://www.econbiz.de/10013407140
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Regulation, credit risk transfer, and bank lending
Pausch, Thilo; Welzel, Peter - 2011
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes. Regulation is found to induce...
Persistent link: https://www.econbiz.de/10010291748
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Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?
Upper, Christian; Worms, Andreas - 2002
contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably …
Persistent link: https://www.econbiz.de/10010295726
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Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
Hillebrand, Martin; Böcker, Klaus - 2008
In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...
Persistent link: https://www.econbiz.de/10010295948