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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …
Persistent link: https://www.econbiz.de/10012061369
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Arrears on Mortgages : Differences Across Countries and Their Effect on the Pricing of the Loan
Magri, Silvia - 2009
highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower … second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as … measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which …
Persistent link: https://www.econbiz.de/10013156811
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Interbank Rate Fixings during the Recent Turmoil
Gyntelberg, Jacob - 2013
The turmoil in global interbank markets in the second half of 2007 raises questions about the robustness of interbank rate fixings. A comparison of alternative fixings for similar interest rates confirms that they diverged to an unusual extent. Nevertheless, the design of fixing mechanisms...
Persistent link: https://www.econbiz.de/10013095299
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What Drives Microfinance Institution's Financial Sustainability
Ayayi, Ayi Gavriel - 2011
Microfinance promises to trim down poverty. To achieve this noble objective microfinance institutions (MFIs) have to become steady profitable because donor constancy is not a given. Thus important question is: what factors drive the financial sustainability of MFIs? Using data on 217 MFIs in 101...
Persistent link: https://www.econbiz.de/10013118859
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The Basel capital requirement, lending interest rate, and aggregate economic growth : an empirical study of Viet Nam
Nguyet Thi Minh Phi; Hanh Thi Hong Hoang; … - 2019
In recent years, the Vietnamese economy has shown signs of financial distress, and especially small banks have experienced serious liquidity and solvency problems. Based on the new policy of the State Bank of Vietnam, in order to ensure safe and effective banking operations, the Basel II accord...
Persistent link: https://www.econbiz.de/10011959821
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CDS spreads and systemic risk : a spatial econometric approach
Keiler, Sebastian; Eder, Armin - 2013
This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...
Persistent link: https://www.econbiz.de/10009695965
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CDS Spreads and Systemic Risk - A Spatial Econometric Approach
Eder, Armin - 2013
This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...
Persistent link: https://www.econbiz.de/10013087836
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CDS Spreads and Systemic Risk : A Spatial Econometric Approach
Keiler, Sebastian - 2016
This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...
Persistent link: https://www.econbiz.de/10012988801
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10013417581