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Interbank credit exposures and financial stability
Schneorson, Oren - 2022
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....
Persistent link: https://www.econbiz.de/10013350529
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Analysis of non-performing loans’ determinants in the banking sector of the Republic of Serbia
Ristić, Kristijan; Jemović, Mirjana - In: Ekonomske teme 59 (2021) 1, pp. 133-151
, identify determinants that significantly affect the extent of credit risk. The research uses vector autoregressive model (VAR …
Persistent link: https://www.econbiz.de/10012534577
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Rollover risk in commercial paper markets and firms' debt maturity choice
Thierfelder, Felix - 2008
By using short-term direct finance firms of the highest credit quality expose themselves to rollover risk in the public debt markets. Firms insure themselves against this risk by securing backup lines of credit from banks that they may use should market liquidity dry up. In a first step, this...
Persistent link: https://www.econbiz.de/10010295942
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Multiple-bank lending: Diversification and free-riding in monitoring
Cerasi, Vittoria; Daltung, Sonja - 2004
This paper analyzes banks' choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to moral hazard and monitoring is essential. Multiple-bank lending is optimal whenever the benefit of greater diversification in terms of higher...
Persistent link: https://www.econbiz.de/10010298289
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010300362
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Relationship lending, firms' behaviour and credit risk: Evidence from the Czech Republic
Geršl, Adam; Jakubík, Petr - 2010
This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast majority...
Persistent link: https://www.econbiz.de/10010322257
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Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2
Zsámboki, Balázs - 2007
This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating...
Persistent link: https://www.econbiz.de/10010322384
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The impact of public guarantees on bank risk taking: evidence from a natural experiment
Gropp, Reint E.; Gruendl, Christian; Guettler, Andre - 2010
In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose...
Persistent link: https://www.econbiz.de/10011605318
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Credit Risk Transfer, Real Sector Productivity, and Financial Deepening
Behr, Patrick; Lee, Samuel - 2005
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...
Persistent link: https://www.econbiz.de/10010263314
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Credit derivatives and bank credit supply
Hirtle, Beverly - 2007
Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets …. Using a micro data set of individual corporate loans, this paper explores whether use of credit derivatives is associated … with an increase in bank credit supply. We find evidence that greater use of credit derivatives is associated with greater …
Persistent link: https://www.econbiz.de/10010283448