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Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …
Persistent link: https://www.econbiz.de/10011431377
In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value-at-Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR...
Persistent link: https://www.econbiz.de/10012952232
instant-access deposits. Exploiting variation in information acquisition for different brands of the same bank, we show that … complementarities. Our results point to a previously undocumented source of self-fulfilling bank fragility …
Persistent link: https://www.econbiz.de/10012830725
We study the impact of disclosure about bank fundamentals on depositors' behavior in the presence (and absence) of … disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks … institution conveys meaningful information for others. Our findings highlight both the costs and benefits of bank transparency and …
Persistent link: https://www.econbiz.de/10012250923
among depositors or information asymmetries between depositors and bank managers to explain bank runs. This Article provides …
Persistent link: https://www.econbiz.de/10012969729
large negative impact on the bank systemic risk, and the effect is more pronounced for small and unprofitable banks. Further … analysis shows that the decline in bank systemic risk is due to the lower similarity of asset and liability structure between …
Persistent link: https://www.econbiz.de/10013314435
, we explore the influence of religiosity, institutional factors, and bank-level heterogeneity. We observe that Islamic …
Persistent link: https://www.econbiz.de/10013235684
The granularity adjustment technique is embedded into a general multi-factor model. ... In this paper, a counter-example with negative value of the granularity adjustment is given for the well-known Vasicek (2002) model.
Persistent link: https://www.econbiz.de/10005850998
Home appraisals are produced for millions of residential mortgage transactions each year, but appraised values are rarely below the purchase contract price: Some 30% of appraisals in our sample are exactly at the home price (with less than 10% of them below it). We lay out a basic theoretical...
Persistent link: https://www.econbiz.de/10011971156