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Cross-sectional returns predictability for emerging market banks : a study on Indian banking system

Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the … model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency …

Persistent link: https://www.econbiz.de/10012023368

Systemic risk diagnostics

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10011382067

Credit Portfolio Modelling and its Effect on Capital Requirements

Bulbul, Dilek - 2016

quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

Persistent link: https://www.econbiz.de/10012988834

Investing in Crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

bank stocks. The collapse in equity prices during crises is followed by lower dividends rather than a bounce back in prices …

Persistent link: https://www.econbiz.de/10013242872

Wealth shocks, credit-supply shocks, and asset allocation : evidence from household and firm portfolios

Kick, Thomas; Ruprecht, Benedikt; Onali, Enrico; … - 2014

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks … credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document heterogeneous …-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non …

Persistent link: https://www.econbiz.de/10010258831

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

Persistent link: https://www.econbiz.de/10009528878

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

Persistent link: https://www.econbiz.de/10012384482

Bank runs, portfolio choice, and liquidity provision

Ahnert, Toni; Elamin, Mahmoud - 2019

liquidity risk, competitive banks offer demand deposits. We use global games to link the probability of a bank run to the …

Persistent link: https://www.econbiz.de/10012101651

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

. Second, while higher bank capital requirements decrease default risk and funding costs, they make it also more profitable to …

Persistent link: https://www.econbiz.de/10012163949

Shock amplification in an interconnected financial system of banks and investment funds

Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021

This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...

Persistent link: https://www.econbiz.de/10012603035