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Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10011992507
Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have …
Persistent link: https://www.econbiz.de/10011978559
Persistent link: https://www.econbiz.de/10002106311
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
We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy … government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an … framework based on detailed actual bank balance sheets and test the model on 35 large EU banking groups, across 7 European …
Persistent link: https://www.econbiz.de/10012053254
We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...
Persistent link: https://www.econbiz.de/10011978192