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Funding advantage and market discipline in the Canadian banking sector
Beyhaghi, Mehdi; D’Souza, Chris; Roberts, Gordon S. - In: Journal of Banking & Finance 48 (2014) C, pp. 396-410
after controlling for bank-specific and market risk factors. Large banks on average pay 80 basis points and 70 basis points …
Persistent link: https://www.econbiz.de/10011077972
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Basel III and contingent capital: a missed opportunity or an illusor panacea?
Sergio, Sorrentino - In: Banca Impresa Società (2012) 1, pp. 25-48
Contingent capital (cocos) instruments are debt securities that automatically co vert into equity if a predetermined trigger (given in terms of equity price or capit ratio) is breached. The dynamic incentive feature of a properly designed continge capital would encourage effective risk...
Persistent link: https://www.econbiz.de/10011157729
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How do bank capital and capital buffer affect risk : empirical evidence from large US commercial banks
Abbas, Faisal; Younas, Zahid Irshad - In: Journal of central banking theory and practice 10 (2021) 2, pp. 109-131
This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the … behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show … that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative …
Persistent link: https://www.econbiz.de/10012549240
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Assessing contingent convertible bonds for bank recapitalization in Nigeria
Katata, Kabir - In: CBN Journal of Applied Statistics 10 (2019) 1, pp. 119-153
bank's balance sheet information. The study also finds that CoCo bonds are likely to be fully subscribed when issued given …This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank …. The study finds the structural approach as the preferred model for CoCo pricing, as it reported the least pricing errors …
Persistent link: https://www.econbiz.de/10012229205
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Assessing contingent convertible bonds for bank recapitalization in Nigeria
Katata, Kabir - In: CBN journal of applied statistics 10 (2019) 1, pp. 119-153
bank’s balance sheet information. The study also finds that CoCo bonds are likely to be fully subscribed when issued given …This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank …. The study finds the structural approach as the preferred model for CoCo pricing, as it reported the least pricing errors …
Persistent link: https://www.econbiz.de/10012178362
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Safe to Fail
Huertas, Thomas - In: Journal of Financial Perspectives 1 (2013) 3, pp. 93-109
Banks cannot be made fail-safe. But they can be made safe to fail, so that the failure of a bank need not disrupt the … amounts to a pre-pack reorganization of the bank that the resolution authority can implement over a weekend, if the bank … principal elements: (i) a recapitalization of the bank through the bail-in of investor instruments and (ii) the provision of …
Persistent link: https://www.econbiz.de/10010991079
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Bank contribution to financial sector systemic risk and expected returns : evidence from large U.S. banks
Usman, Muhammad - In: Borsa Istanbul Review 23 (2023) 1, pp. 203-216
We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...
Persistent link: https://www.econbiz.de/10014307497
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Dimensions of Bank Capital Regulation: A Cross-Country Analysis
MarincÌŒ, Matej; Mrak, Mojmir; Rant, Vasja - In: Panoeconomicus 61 (2014) 4, pp. 415-439
Bank’s (2013) database covering various aspects of bank regulation. Using multiple explorative factor analysis, we …
Persistent link: https://www.econbiz.de/10011147360
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How do bank capital and capital buffer affect risk: Empirical evidence from large US commercial banks
Abbas, Faisal; Younas, Zahid Irshad - In: Journal of Central Banking Theory and Practice 10 (2021) 2, pp. 109-131
This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the … behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show … that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative …
Persistent link: https://www.econbiz.de/10014558394
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Determinants of the Interest Rate Premium on Contingent Convertible Bonds (CoCos)
von Furstenberg, George M. - In: Journal of Financial Perspectives 1 (2013) 2, pp. 133-144
Abstract Ruling out default prior to conversion of high-trigger (going-concern) CoCos, this paper concentrates on estimating the conversion risk premium on CoCos. It does so by estimating the cost of hedging that risk with a contingent put option, exercisable only in the event of conversion,...
Persistent link: https://www.econbiz.de/10010840145