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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

The Impact of Bank Mergers on Liquidity Creation

Pana, Elisabeta - 2010

Using 189 commercial bank mergers between 1997 and 2004, we document a positive impact of the merger activity on bank …

Persistent link: https://www.econbiz.de/10013150608

The Role of Ownership Structure and Regulatory Environment in Bank Corporate Governance

Westman, Hanna - 2010

legal protection of depositors is as important. The safety net designed to protect depositors and prevent bank runs is … (2008) are the first to present evidence of the joint impact of regulatory environment and bank ownership structure on bank … is, however, known about the interaction between regulatory environment and bank ownership structure. The objective of …

Persistent link: https://www.econbiz.de/10013152216

The Impact of Government Ownership on Banks’ Ratings : Evidence from the European Banking Industry

Sironi, Andrea - 2009

We evaluate the impact of government ownership on the issuer and individual ratings of a sample of 224 large European banks over the 1999-2004 period. Individual ratings differ from traditional ones in that they focus on banks' economic and financial conditions and do not take into account any...

Persistent link: https://www.econbiz.de/10013155225

Regulatory Reform and Productivity Change in Indian Banking

Zhao, Tianshu - 2009

This paper examines the impact of regulatory reform on TFP growth and its sources and on the relationship between ownership and cost efficiency for Indian banks in 1992-2004. The methodology consists of the joint use of parametric and non-parametric techniques to estimate efficiency frontiers....

Persistent link: https://www.econbiz.de/10013155302

Competition and Risk Taking Incentives in the Lending Market : An Application to Indian Banking

Zhao, Tianshu - 2009

both on competition and on banks' risk taking incentives. Drawing on the literature on the uniqueness of bank loans vis …

Persistent link: https://www.econbiz.de/10013155372

Bank Participation in Private Equity Funds : Risk Implication and Capital Adequacy

Sanyal, Debarshi - 2009

adequate capitalisation of bank portfolios. Value-at-risk assessments are based on an ARMA-GARCH forecast model. Whereas the …

Persistent link: https://www.econbiz.de/10013156816

Reduction in Bank Ownership and Firm Performance : Evidence from Japan

Uchida, Konari - 2009

ratio. The results suggest that the reduction in bank ownership enhances the disciplinary role of debt. Finally, firms … achieve better performance improvements when non-Japanese owners replace bank ownership …

Persistent link: https://www.econbiz.de/10013156836

Bank Ownership Structure, Bank Regulation, and Firm Investment : International Evidence

Zheng, Ying - 2009

incentives of insiders to expropriate bank resources and promote bank efficiency, and are supposed to have real economic effect …

Persistent link: https://www.econbiz.de/10013156940

The 2007 Meltdown in Structured Securitization : Searching for Lessons not Scapegoats

Caprio, Gerard - 2009

The intensity of the crisis in financial markets has surprised nearly everyone. This paper searches out the root causes of the crisis, distinguishing them from scapegoating explanations that have been used in policy circles to divert attention from the underlying breakdown of incentives....

Persistent link: https://www.econbiz.de/10013158630