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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

Commercial bank performance and credit risk in Albania

Kola, Fatmira; Gjipali, Arsena; Sula, Erjon - In: Journal of central banking theory and practice 8 (2019) 3, pp. 161-177

The banking sector is a complex system composed of a large number of stakeholders that interacts in a non-simple way … risk in the banking sector that affect the bank performance, as it exhibits loss probability because of the failure of … total loans, representing the major obstacle to the development and performance of the banking sector in Albania. The …

Persistent link: https://www.econbiz.de/10012101508

Inside Debt, Bank Default Risk and Performance during the Crisis

Bennett, Rosalind L. - 2014

In this paper, we examine whether the structure of the chief executive officer's (CEO) compensation package can explain default risk and performance in bank holding companies (BHCs) during the recent credit crisis. Using a sample of 371 BHCs, we show that in 2006 lower holdings of inside debt...

Persistent link: https://www.econbiz.de/10013065733

The microprudential stress testing for banking system : a study case on Algerian private bank, using accounting approach

Bouchetara, Mehdi; Eyih, Sidi; Kheroua, Hinde Hadj Slimane - In: Financial studies 25 (2021) 4, pp. 34-70

the 2008 financial crisis, that they are indispensable tools in the management of banking risks and against systemic risks. …

Persistent link: https://www.econbiz.de/10012793520

Assessing the determinants of non-performing loans under financial crisis and health crisis : evidence from the MENA banks

Alnabulsi, Khalil; Kozarević, Emira; Hakimi, Abdelaziz - In: Cogent economics & finance 10 (2022) 1, pp. 1-23

The main objective of this paper is to investigate determinants of non-performing loans in the Middle East and North Africa region by exploring the role of bank-specific and macroeconomic factors, particularly in the period of the global financial crisis, as well as the COVID-19 pandemic, as a...

Persistent link: https://www.econbiz.de/10013369129

Contingent Credit Under Stress

Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023

Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks' provision of liquidity insurance in the form of credit...

Persistent link: https://www.econbiz.de/10014437040

Empirical Credit Spread Components of Banks and their Coverage in Structural Models – An Integrated Analysis

Vogelheim, Jan - 2020

Persistent link: https://www.econbiz.de/10012835297

Credit Derivatives Disclosure in Banks’ Risk Reporting : Empirical Evidence From Four Large European Banks

Scannella, Enzo - 2019

This paper aims to analyze the derivatives disclosure in banks' annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The...

Persistent link: https://www.econbiz.de/10012869472

Comparative Credit Risk in Islamic and Conventional Banks

Kabir, Nurul - 2016

especially misleading in the case of Islamic banking. Using Merton's distance-to-default (DD) model, a market-based credit risk …

Persistent link: https://www.econbiz.de/10013005971

Comparative Credit Risk in Islamic and Conventional Banks

Kabir, Nurul; Worthington, Andrew C.; Gupta, Rakesh - 2021

especially misleading in the case of Islamic banking. Using Merton’s distance-to-default (DD) model, a market-based credit risk …

Persistent link: https://www.econbiz.de/10013219875

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