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Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new...
Persistent link: https://www.econbiz.de/10010307970
We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled. We take the rates model to be Hull-White...
Persistent link: https://www.econbiz.de/10011996119
can reduce the possibility of a bailout with public funds and lessen regulatory actions, if properly implemented, to boost …
Persistent link: https://www.econbiz.de/10012229205
Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...
Persistent link: https://www.econbiz.de/10015074272
Das Ziel der Einheit von Eigentum und Haftung, dem bei der Einführung des Euro unter anderem durch das No-Bailout …-Prinzip Rechnung getragen wurde, hat sich während der Finanzkrise nicht erfüllt. Viel zu häufig ist Bail-out an die Stelle von Bail …The goal of unifying ownership and liability was addressed by the no-bailout principle as part of the introduction of …
Persistent link: https://www.econbiz.de/10010464606
The economic and financial crisis of the year 2008 highlighted the need for banking sector regulation via the creation of the banking union. The Bank Recovery and Resolution Directive (BRRD) represents an important milestone in the formation of the banking union. It is supposed inter alia to...
Persistent link: https://www.econbiz.de/10012384141
There is an increasing influence of machine learning in business applications, with many solutions already implemented and many more being explored. Since the global financial crisis, risk management in banks has gained more prominence, and there has been a constant focus around how risks are...
Persistent link: https://www.econbiz.de/10013200446
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock markets over the period January 2000 to August 2021 using a diagonal BEKK-AMGARCH model. Results show that the Nigerian stock market exhibits characteristics of inefficiency, as...
Persistent link: https://www.econbiz.de/10015197045
This paper is motivated from previous work in the area of bank interest rate and dividend policy, and we went further to figure out whether there is any association between interest rate changes and the stock market's reaction to dividend announcements. To conduct this research paper, we used 61...
Persistent link: https://www.econbiz.de/10013553540
This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily...
Persistent link: https://www.econbiz.de/10014001460