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informing on the procyclicality of risk parameters and bank capital requirements. …
Persistent link: https://www.econbiz.de/10015149572
How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …
Persistent link: https://www.econbiz.de/10012108717
Although the cost of financial distress is a central issue in capital structure and credit risk studies, reliable estimates of its size are difficult to come by. This paper proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon...
Persistent link: https://www.econbiz.de/10010206258
We use tools from survival analysis to study the equilibrium probability of bank failure in a model with imperfect … derive several surprising results: in equilibrium, a bank can be more likely to fail with less risky than with more risky … borrowers. In addition, the equilibrium relationship between borrower and bank risk can be fundamentally altered by a greater …
Persistent link: https://www.econbiz.de/10014520854
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS...
Persistent link: https://www.econbiz.de/10010419854
This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute...
Persistent link: https://www.econbiz.de/10009767690
conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …
Persistent link: https://www.econbiz.de/10011557772
case of free riding. As the number of lending banks grows, the chance of meeting again a bank and of being punished for …
Persistent link: https://www.econbiz.de/10011962128
return prospects on the long-term investment turn out to be bad. For moderate return risk, equilibria with and without bank … default coexist, and bank default is a self-fulfilling prophecy. Capital and liquidity regulation can prevent bank default and …
Persistent link: https://www.econbiz.de/10014366762
of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio … data from a major Swedish bank for the period 1994 to 2000. First, we estimate a duration model that takes into account … model-based simulations. Moreover, we study how both the bank s credit risk and bu.er capital changes over time (had the …
Persistent link: https://www.econbiz.de/10011584521