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Liquidity, Leverage, and Lehman : A Structural Analysis of Financial Institutions in Crisis

Chen, Ren-Raw - 2015

The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...

Persistent link: https://www.econbiz.de/10013035485

The value of bond underwriter relationships

Rüden, Stine Louise von; Dick-Nielsen, Jens; Stenbo … - 2021

We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance...

Persistent link: https://www.econbiz.de/10012432341

Accounting for the Crisis

Mizrach, Bruce - 2011

Time series evidence on leverage suggests that simple financial ratios may not explain the disparate performance of U.S. banking institutions during the financial crisis. I discuss the cross-section determinants of U.S. commercial bank returns, and find that Tier 1 capital ratios explain nearly...

Persistent link: https://www.econbiz.de/10013122139

Leverage and VAR as Measures of Bank Distress : Comment on 'Endogenous and Systemic Risk'

Mizrach, Bruce - 2011

I discuss the asset pricing and policy implications of Danielsson, Shin and Zigrand, "Endogenous and Systemic Risk." I show that leverage as conventionally measured was not a reliable indicator of systemic stress and that a more detailed examination of bank balance sheets and asset holdings is...

Persistent link: https://www.econbiz.de/10013125331

Corporate Financing Choices after the 2007-2008 Financial Crisis

Pinto, João; Coutinho dos Santos, Mário - 2021

We study the factors that, arguably, affect the probability of a new borrower choosing between structured finance (SF), either project finance (PF) loans or asset securitization (AS) bonds, and straight debt finance (SDF) – corporate bonds (CB) – transactions using a large cross section of...

Persistent link: https://www.econbiz.de/10013314705

Financial intermediaries and the macroeconomy : evidence from a high-frequency identification

Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022

We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...

Persistent link: https://www.econbiz.de/10013252981

Liquidity Risk Contagion in the Interbank Market

Eross, Andrea - 2016

This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR-OIS spread, euro fixed-float OIS swap rate and the...

Persistent link: https://www.econbiz.de/10012999821

Financial Contagion During Stock Market Bubbles

Escobari, Diego; Sharma, Shahil - 2021

We investigate the role of bubbles on financial contagion using a set of developed economies. First, using the …-series dynamic conditional correlations and bubbles to estimate various dynamic panel specifications that consider the endogenous … nature of bubbles. We find statistically significant decreases in the dynamic correlations during periods of bubbles, which …

Persistent link: https://www.econbiz.de/10013247113

The Rise and Fall of Bank Credit Securitisation : Capital Relief, Augmented Lending and Spillover Effects

Neumann, Niklas - 2017

Securitisation allows banks to swap risky assets for cash and thereby boost regulatory capital measures and attain a higher balance sheet turnover. As a result, access to securitisation lowers banks' dependence on capital in lending and increases credit supply. In my empirical strategy I compare...

Persistent link: https://www.econbiz.de/10012952237

Banks, markets, and financial stability

Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014

We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...

Persistent link: https://www.econbiz.de/10010433396