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Basel III capital requirements and heterogeneous banks
Müller, Carola - 2018 - This version: October 2018
I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital regulation with a leverage ratio and a risk-weighted...
Persistent link: https://www.econbiz.de/10011888053
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Basel III capital requirements and heterogeneous banks
Müller, Carola - 2018 - This version: October 2018
I develop a theoretical model to examine the effect of capital requirements on risk taking and market structure of banks. Within a portfolio choice model, I allow for heterogeneous productivity among banks and consider the simultaneous capital regulation with a leverage ratio and a risk-weighted...
Persistent link: https://www.econbiz.de/10011933372
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Modeling Loss Given Default
Li, Phillip - 2018
We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly by comparing their performance in a simulation framework. We find that, even using the full set of explanatory variables from the assumed data generating process,...
Persistent link: https://www.econbiz.de/10012913177
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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2006
We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with …
Persistent link: https://www.econbiz.de/10010366524
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Credit Default Swaps and Bank Loan Sales : Evidence from Bank Syndicated Lending
Hasan, Iftekhar - 2017
substitute channel, and the credit-enhancement channel plays an important role in bank loan sales …
Persistent link: https://www.econbiz.de/10012971614
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Bank Earnings Smoothing, Audit Quality and Procyclicality in Africa : The Case of Loan Loss Provisions
Ozili, Peterson K - 2017
via loan loss provisions is not reduced among African banks with Big 4 auditor; and (iv) bank provisioning in Africa is …
Persistent link: https://www.econbiz.de/10012960199
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The Risk Sensitivity of Basel Risk Weights and Loan Loss Provisions : Evidence from European Banks
Baule, Rainer - 2019
Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank … risk sensitivity, i.e., the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio …
Persistent link: https://www.econbiz.de/10012902048
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Paying Bank Risk Professionals to Lie about Bank Loan Loss Provisioning Process
Ozili, Peterson K - 2019
provisions estimate of banks. While bank credit risk teams are sometimes mesmerised by the short-term benefits of provisions … games, they do not care if their behaviour destroys bank value and the informativeness of loan loss provisioning estimates …. While it is not difficult for bank managers and analysts to understand that the provisioning process is subject to gaming …
Persistent link: https://www.econbiz.de/10012902590