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Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests
Georgescu, Oana Maria - 2017
results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker …
Persistent link: https://www.econbiz.de/10012956258
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Does a Financial Crisis Change a Bank's Exposure to Risk? A Difference-in-Differences Approach
Mäkinen, Mikko - 2021
Can a major financial crisis trigger changes in a bank’s risk-taking behavior? Using the 2008 Global Financial Crisis …, bank learning from a financial crisis may not depend on the institutional context and the level of development of national …
Persistent link: https://www.econbiz.de/10013224915
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Firm-specific shocks and contagion : are banks special?
Engljähringer, Hannah Katharina; Stracca, Livio - 2020
is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …
Persistent link: https://www.econbiz.de/10012299006
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Banks and Sovereign Risk : A Granular View
Buch, Claudia M. - 2016
sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for …
Persistent link: https://www.econbiz.de/10012988769
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Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53
Persistent link: https://www.econbiz.de/10010485270
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
Gehrig, Thomas - 2018
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012910412
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks
Gehrig, Thomas - 2017
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012946327
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
Gehrig, Thomas - 2017
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012950027
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376