Showing 1 - 10 of 475
This virtual technical assistance (TA) mission assisted the Agency in strengthening liquidity elements of its risk-based supervisory framework. The mission focused on supporting the Agency with the development of internal supervisory methodology for the assessment of banks' ILAAP and setting...
Persistent link: https://www.econbiz.de/10013168865
Since the March 2023 banking turmoil, a policy debate has emerged concerning the unprecedented scale and speed of the observed deposit outflows. Have recent stress episodes and developments in technology structurally changed depositors' behaviour? Are the Basel III liquidity coverage ratio (LCR)...
Persistent link: https://www.econbiz.de/10015199501
This study provides findings on the transmission of liquidity shocks by Austrian parent banks through the lending channel. I investigate how different types of parent banks adjust their balance sheet positions in response to a liquidity shock and how such an adjustment is transmitted into...
Persistent link: https://www.econbiz.de/10013370116
This paper aims to investigate the effect of credit risk, liquidity risk and bank capital on bank profitability over a nine-year period (2010-2018) by examining empirical evidence from an emerging market. This study is grounded on econometric panel data using GMM methods. The results indicate...
Persistent link: https://www.econbiz.de/10014001615
Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first to explain idiosyncratic concepts through an information environment approach and an examination of information asymmetry. This study aims to analyze the phenomenon of...
Persistent link: https://www.econbiz.de/10014332678
We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...
Persistent link: https://www.econbiz.de/10014467728
The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...
Persistent link: https://www.econbiz.de/10014522095
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...
Persistent link: https://www.econbiz.de/10010318750
This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention...
Persistent link: https://www.econbiz.de/10009465988
The paper models the interaction between risk taking in the financial sector and central bank policy for the case of pure illiquidity risk. It is shown that, when bad states are highly unlikely, public provision of liquidity may improve the allocation, even though it encourages more risk taking...
Persistent link: https://www.econbiz.de/10010264298