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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Raising Capital When the Going Gets Tough : U.S. Bank Equity Issuance from 2001 to 2014
Black, Lamont - 2016
We analyze equity issuance by publicly-traded U.S. banks during 2001-2014 through exchanges (SEOs), private placements (PIPEs), and TARP. Equity markets were important for bank recapitalization in the crisis, when SEO and PIPE issuance peaked. We find that bank characteristics predict issuance...
Persistent link: https://www.econbiz.de/10012985362
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Liquidating illiquid collateral
Oehmke, Martin - In: Journal of economic theory 149 (2014), pp. 183-210
Persistent link: https://www.econbiz.de/10010258381
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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Insecure debt
Perotti, Enrico C.; Matta, Rafael - 2015 - This Draft: March 16, 2015
fundamental risk. This effect is separate from the liquidation externality caused by fire sales of seized collateral upon default …
Persistent link: https://www.econbiz.de/10010492342
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Dynamic asset-backed security design
Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing - 2022
Persistent link: https://www.econbiz.de/10013207720
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Liquidity windfalls : The consequences of repo rehypothecation
Infante, Sebastian - In: Journal of financial economics 133 (2019) 1, pp. 42-63
Persistent link: https://www.econbiz.de/10012164078
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Analyzing collateral repo haircuts in Asian countries
Gunadi, Iman; Sasongko, Aryo; Sari, Dian Fitriarni - In: Bulletin of monetary economics and banking 25 (2022) 4, pp. 495-530
Persistent link: https://www.econbiz.de/10014265979
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The price of money : now collateral policy affects the yield curve
Nyborg, Kjell G.; Woschitz, Jiri - 2021
Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the … yield curve through collateral policy …
Persistent link: https://www.econbiz.de/10012799625
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The quality of eligible collateral and monetary stability : an empirical analysis
Lehmbecker, Philipp - 2008
addition, it expands the current research agenda by considering a neglected factor: The quality of eligible collateral (QEC … investigates to what extent the quality of eligible collateral is able to explain inflation employing the first comprehensive …
Persistent link: https://www.econbiz.de/10010206377