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Banks cannot be made fail-safe. But they can be made safe to fail, so that the failure of a bank need not disrupt the … amounts to a pre-pack reorganization of the bank that the resolution authority can implement over a weekend, if the bank … principal elements: (i) a recapitalization of the bank through the bail-in of investor instruments and (ii) the provision of …
Persistent link: https://www.econbiz.de/10010991079
We highlight the ex ante risk-shifting incentives faced by a bank's shareholders/managers when CoCos (contingent … shareholders will receive upon the CoCo's conversion under CoCo designs widely used in practice. Specifically we show that for …
Persistent link: https://www.econbiz.de/10011441586
Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the … bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky …
Persistent link: https://www.econbiz.de/10013002956
We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...
Persistent link: https://www.econbiz.de/10014307497
leverage faced tighter constraints in accessing bank credit after the COVID-19 outbreak in spring 2020. Specifically, SMEs with … Paycheck Protection Program (PPP), mitigated the adverse real effect stemming from bank credit constraints. …
Persistent link: https://www.econbiz.de/10014304784
This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the … behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show … that bank capital has a positive influence on total risk. However, risk-based capital and capital buffer have a negative …
Persistent link: https://www.econbiz.de/10014558394
impact of counterparty credit risk on bank capital regulatory requirements. We developed six scenarios of different interest … banka) and top 3 US banks (Bank of America, Citibank and JP Morgan). We conclude that i) the analyzed Czech banks report …
Persistent link: https://www.econbiz.de/10011340608
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches increases, expected losses decouple from unexpected...
Persistent link: https://www.econbiz.de/10012815313
Bank’s (2013) database covering various aspects of bank regulation. Using multiple explorative factor analysis, we …
Persistent link: https://www.econbiz.de/10011147360
impact of counterparty credit risk on bank capital regulatory requirements. We developed six scenarios of different interest …) and top 3 US banks (Bank of America, Citibank and JP Morgan). We conclude that i) the analyzed Czech banks report …
Persistent link: https://www.econbiz.de/10011147548