Most of the assets on the balance sheet of a typical bank are illiquid. Therefore, liquidity risk is one of the key risks for banks. Since the risks of an asset affect its value, liquidity risk should be included in their valuation. Although models have been developed to include liquidity risk...

One aim of post-crisis monetary policy has been to ease credit conditions for borrowers by unlocking bank lending. We find that bank equity is an important determinant of both the bank's funding cost and its lending growth. In a cross-country bank-level study, we find that a 1 percentage point...

Turkish Abstract: Bu çalışmada, bilanço dışı hesapların özellikleri, banka grupları itibariyle bilanço dışı faaliyetlerinin büyüklüğü ve gelişimi, bankacılık sektöründe 2006-2011 yılları arasındaki gelişmeler ile risk ve karlılık açısından etkileri...

Die hohe Relevanz von Bilanzstrukturrisiken im Niedrig- bzw. Negativzinsumfeld führt zu der zentralen Frage nach etwaigen Abhängigkeiten der präferierten Anlage- und Kreditlaufzeiten vom aktuellen Marktzins. Aus dieser Abhängigkeit wiederum resultiert die Frage nach der Angemessenheit der...

Following the global financial crisis of 2008/2009, many European countries introduced bank levies to enable financial institutions to share in the costs of future banking crises via resolution and restructuring funds. Simultaneously, bank levies can set an incentive for banks to reduce their...

Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional variation of banks' simulated...

This study examines the relationship between bank capital, and on- and off-balance sheet credit risk for banks in the United States over 2001-2008. It is found that capital and off-balance sheet credit risk are simultaneously and positively determined. Banks with more capital are able to take...