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Banks mustmake forward-looking provisions for loan losses undernewinternational accounting standards introduced in 2018. In Europe, banks will assign performing exposures to a new "Stage 2" category with a higher provisioning penalty, if they have experienced significant increase in credit risk...
Persistent link: https://www.econbiz.de/10012000144
be relieved. This would be facilitated by more efficient insolvency procedures and further development of non-bank …
Persistent link: https://www.econbiz.de/10010464863
capture common factors in the residuals. We reproduce the puzzle for European bank credit spreads and hypothesize that the … information contagion through bank business model similarities. To capture this channel, we propose an intuitive measure for …
Persistent link: https://www.econbiz.de/10012007806
This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest...
Persistent link: https://www.econbiz.de/10012313295
deteriorate further, which could require significant bank recapitalisation. Updated bottom-up (i.e. loan by loan) stress tests are … assumptions should be made public. The creation of the Bank Asset Management Company (BAMC) should allow recognition of problems … challenge is to improve inefficient insolvency procedures that are too long and result in low recovery rates. Development of …
Persistent link: https://www.econbiz.de/10009767739
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....
Persistent link: https://www.econbiz.de/10011972792
This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on …
Persistent link: https://www.econbiz.de/10011978351
This paper analyzes the effect of bank recapitalizations on lending, funding and asset quality of European banks …
Persistent link: https://www.econbiz.de/10011975004
We measure the impact of bank capital requirements on corporate borrowing and investment using loanE level data. The …
Persistent link: https://www.econbiz.de/10011978165
, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …
Persistent link: https://www.econbiz.de/10011978342