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Accounting for financial instruments in the banking industry : conclusions from a simulation model

Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten - 2003 - Revised: November 2003

The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a...

Persistent link: https://www.econbiz.de/10009765358

Financing as a supply chain : the capital structure of banks and borrowers

Gornall, Will; Strebulaev, Ilya A. - 2013

We develop a model of the joint capital structure decisions of banks and their borrowers. Strikingly high bank leverage emerges naturally from the interplay between two sets of forces. First, seniority and diversification reduce bank asset volatility by an order of magnitude relative to that of...

Persistent link: https://www.econbiz.de/10010259793

Bank leverage, welfare, and regulation

Admati, Anat R.; Hellwig, Martin - 2018

We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy that banks' distress and default cause, such claims are...

Persistent link: https://www.econbiz.de/10011925841

Bank leverage, welfare, and regulation

Admati, Anat R.; Hellwig, Martin - 2018 - Revised January 14, 2019

We take issue with claims that the funding mix of banks, which makes them fragile and crisisprone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy that banks' distress and default cause, such claims are...

Persistent link: https://www.econbiz.de/10011977827

Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...

Persistent link: https://www.econbiz.de/10011818282

Accounting for financial stability : lessons from the financial crisis and future challenges

Bischof, Jannis; Laux, Christian; Leuz, Christian - 2018

This paper investigates what we can learn from the financial crisis about the link between accounting and financial stability. The picture that emerges ten years after the crisis is substantially different from the picture that dominated the accounting debate during and shortly after the crisis....

Persistent link: https://www.econbiz.de/10012011324

A multi-factor model for the valuation and risk management of demand deposits

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2006

How should we value and manage deposit accounts where deposits have a zero contractual maturity, but which, in practice, remain stable through time and are remunerated below market rates? Does the economic value of the deposit account differ from the face value and can we reliably measure it? To...

Persistent link: https://www.econbiz.de/10003367990

Fair value reclassifications of financial assets during the financial crisis

Bischof, Jannis; Brüggemann, Ulf; Daske, Holger - 2012

abandoning fair value recognition for selected financial assets. Using a comprehensive global sample of publicly listed IFRS … reclassifying banks do not fully comply with the accompanying IFRS 7 requirements. These banks experience a significant increase in … bid-ask spreads in the long run. -- Bank Regulation ; Fair Value Accounting ; Financial Crisis ; IAS 39 ; IFRS 7 …

Persistent link: https://www.econbiz.de/10009487337

A multi-factor model for the valuation and risk management of demand deposits

Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2005

Persistent link: https://www.econbiz.de/10003325263

The economic consequences of including fair value adjustments to shareholders' equity in regulatory capital calculations

Chircop, Justin; Novotny-Farkas, Zoltán - 2014 - First draft: April 10, 2014, This draft: September 18, 2014

We investigate the economic consequences of the implementation of a particular aspect of Basel III in the U.S. Specifically, the Basel III proposal and the corresponding U.S. rule (hereafter referred to as the removal of the AOCI filter) to make the inclusion of unrealized fair value gains and...

Persistent link: https://www.econbiz.de/10010429138