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Bank leverage, welfare, and regulation
Admati, Anat R.; Hellwig, Martin - 2018
because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy …
Persistent link: https://www.econbiz.de/10011925841
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Bank leverage, welfare, and regulation
Admati, Anat R.; Hellwig, Martin - 2018 - Revised January 14, 2019
it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy that …
Persistent link: https://www.econbiz.de/10011977827
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Essays on banking system efficiency and stability
Xie, Ru - 2010
Persistent link: https://www.econbiz.de/10008659478
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Modelling and analysis of financial network dynamics
Braack, Alexandrina - 2017
Persistent link: https://www.econbiz.de/10011639333
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Incremental Risk Charge Methodology
Xiao, Tim - 2014
The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte...
Persistent link: https://www.econbiz.de/10013055237
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Estimating the Probability of Default for No-Default and Low-Default Portfolios
Blümke, Oliver - 2020
The paper proposes a sequential Bayesian updating approach to estimate default probabilities on rating grade level for no- and low-default portfolios.Bayesian sequential updating enables default probabilities to be obtained also for those rating grades for which no defaults have been...
Persistent link: https://www.econbiz.de/10012843208
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Estimating the Probability of Default for No-Default and Low-Default Portfolios
Blümke, Oliver - 2019
This article proposes a sequential Bayesian updating approach to estimate default probabilities on rating grade level for no- and low-default portfolios. Bayesian sequential updating allows to obtain default probabilities also for those rating grades for which no defaults have been observed. The...
Persistent link: https://www.econbiz.de/10012897815
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The political economy of financial systems
Haber, Stephen H.; Perotti, Enrico C. - 2008
This survey reviews the literature on the political economy of financial structure, broadly defined to include the size of capital markets and banking systems as well as the distribution of access to external finance across firms.The theoretical literature on the institutional basis for...
Persistent link: https://www.econbiz.de/10011374399
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Financing as a supply chain : the capital structure of banks and borrowers
Gornall, Will; Strebulaev, Ilya A. - 2013
We develop a model of the joint capital structure decisions of banks and their borrowers. Strikingly high bank leverage … emerges naturally from the interplay between two sets of forces. First, seniority and diversification reduce bank asset … and fragility. Deposit insurance and the expectation of government bailouts increase not only bank risk taking, but also …
Persistent link: https://www.econbiz.de/10010259793
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Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints
Curcio, Domenico - 2011
Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing … provides an immediate support for bank managers in making a loan price-related decision …
Persistent link: https://www.econbiz.de/10013131209