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investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate … may be due to the assumed risk reduction stemming from their hedging strategies. However, their effectiveness in crisis …
Persistent link: https://www.econbiz.de/10010938960
We examine the relation between bank risk management procedures and sales of mortgages during the financial crisis of …
Persistent link: https://www.econbiz.de/10012856254
investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate … may be due to the assumed risk reduction stemming from their hedging strategies. However, their effectiveness in crisis …
Persistent link: https://www.econbiz.de/10013131118
Using simulations, we show that the probability of default and losses given default of subprime mortgage loans are small in comparison to their interest rates. The implication is that these loans are profitable for risk neutral efficient banks. As subprime mortgages remain a good investment even...
Persistent link: https://www.econbiz.de/10013121234
This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (iii) discusses the implications of procyclical behavior; and (iv) proposes a...
Persistent link: https://www.econbiz.de/10013074694
-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …-term. Moreover, the increased cost of capital reduces credit and liquidity creation, and the more so the less capitalized is the bank …
Persistent link: https://www.econbiz.de/10012910220
Using a novel cross-European dataset on bank internationalization, the paper accounts for both organizational and …–11 European sovereign debt crisis might have modified such an impact. Ahead of the crisis (2005–07), results suggest that bank … complexity affects systemic risk via its impact on bank size, activity diversity and foreign expansion strategies. Regardless of …
Persistent link: https://www.econbiz.de/10012852995
Using simulations, we show that the probability of default and losses given default of subprime mortgage loans are small in comparison to their interest rates. The implication is that these loans are profitable for risk neutral efficient banks. As subprime mortgages remain a good investment even...
Persistent link: https://www.econbiz.de/10013045180
-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …-term. Moreover, the increased cost of capital reduces credit and liquidity creation, and the more so the less capitalized is the bank …
Persistent link: https://www.econbiz.de/10012916781
-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …-term. Moreover, the increased cost of capital reduces credit and liquidity creation, and the more so the less capitalized is the bank …
Persistent link: https://www.econbiz.de/10011913717