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The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit...
Persistent link: https://www.econbiz.de/10012941761
This paper investigates the effectiveness of supervisory discipline on bank risk over the years immediately before … public. Access to this information allows a complete analysis of the effects of regulatory enforcement actions on bank … effective tool for slowing declines in a bank's capital ratios and informal actions were relatively less potent. Post …
Persistent link: https://www.econbiz.de/10012943550
, in which the bank takes extreme risk. (iii) In the valid region of eDIS, the bank takes excessive risk and the effects of … banking market structure and regulatory ability on the bank's risk are interdependent. Empirical analysis on 190 countries …
Persistent link: https://www.econbiz.de/10012944727
regulatory shock on bank systematic risk exposure. I find that after the regulation, banks' exposure to off-balance sheet assets …
Persistent link: https://www.econbiz.de/10013000787
comprehensive sample that combines an original set of bank-specific bailout events with balance sheets of key affected and non …
Persistent link: https://www.econbiz.de/10012419677
Since the European debt crisis economists and politicians discuss intensively the sovereign-bank nexus. The high … exposure on bank stability. This paper provides a new way to use European stress test data to study this relationship. In … addition, we explore the effect on a bank’s probability of default if the existing capital requirement privilege for EU …
Persistent link: https://www.econbiz.de/10012510319
We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...
Persistent link: https://www.econbiz.de/10012520221
of bank complexity. Yet, surprisingly little is known about changes in complexity across countries, its drivers, and its …
Persistent link: https://www.econbiz.de/10012520294
In this paper we empirically analyze the determinants of bank default risk (measured by the banks' CDS spreads) for … European banks during the period 2008-2018. We examine the effect of (1) bank business model characteristics, (2) sovereign … document that accommodative ECB actions in general lower bank default risk. We also show that the downward effect of monetary …
Persistent link: https://www.econbiz.de/10012834126
equity ratio, loan quality and bank size are the main determinants of bank bailout involvement. However, the aided banks … sufficient to restore bank health …
Persistent link: https://www.econbiz.de/10012934952