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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 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/10011554963
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Financial Failures and Risk Management
Coskun, Yener - 2012
Financial failures observed during global financial crisis have again underlined the importance of effective risk management. In this article, the author analyzes the best instrument, namely self discipline, official discipline and market discipline, for the effective risk management. In the...
Persistent link: https://www.econbiz.de/10013102359
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Conceptualizing the Failure of Financial Institutions and the Role of Risk Management in Averting Failure : The CLS Model
Bezis, Justin N. - 2013
The failure of financial institutions is often depicted as an externally-driven event in which certain triggers almost inevitably lead to the collapse of the firm. In contrast, this paper views institutional failure as a multistage process in which precautionary measures taken by the firm can...
Persistent link: https://www.econbiz.de/10013089043
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Tracking Down Distress Risk
Kapadia, Nishad - 2010
This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama-French size (SMB) and value (HML) factors. Using a unique dataset of aggregate business failures of both private and public firms from 1926 to 1997, I build portfolios that track news...
Persistent link: https://www.econbiz.de/10013151437
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Corporate Governance and the Insolvency Risk of Financial Institutions
Ali, Searat - 2018
We investigate whether corporate governance is related to insolvency risk of financial institutions. Using a large … insolvency risk of financial institutions as proxied by Merton's distance to default measure and credit default swap spread. We … also find that “better” corporate governance increased insolvency risk relatively more for larger financial institutions …
Persistent link: https://www.econbiz.de/10012935690
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R&D Investment and Distress Risk
Zhang, Wei - 2016
This paper proposes that besides volatility, R&D can increase firms' distress risk through another channel. Unlike capital investment, R&D is more inflexible and subject to high adjustment costs. Moreover, R&D intensive firms face severe financial constraints and are more likely to...
Persistent link: https://www.econbiz.de/10013007170
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...
Persistent link: https://www.econbiz.de/10013023044
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Validation of Default Probability Models : A Stress Testing Approach
Yasuhiro Tsukahara, Fabio - 2016
This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated stress data, we build ideal conditions to assess the adequacy of the metrics in different stress scenarios. In addition, we empirically analyze the evaluation metrics...
Persistent link: https://www.econbiz.de/10012987722
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Financial Distress, Risk Shifting, and the Use of Options
Jankensgård, Håkan - 2018
Risk shifting behaviour is central to corporate finance theory yet has not been vindicated by empirical research. We show that firms construct their derivative portfolios in ways that support the risk shifting hypothesis. Using hand-collected data from the oil and gas industry we find that...
Persistent link: https://www.econbiz.de/10012930617
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Financial liability stress tests : an approach based on the use of a rating migration matrix
Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...
Persistent link: https://www.econbiz.de/10012303645