European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...

A fundamental cause of the global financial crisis was excessive creation of short-term money-like liabilities (quasi-money), notably in shadow banking holdings of sub-prime MBS and other US dollar structured credit instruments and in cross-border flow of capital to the uncompetitive Euro area...

A fundamental cause of the global financial crisis was excessive maturity mismatch, notably shadow banking holdings of sub-prime MBS and other structured credit instruments and cross-border Euro area interbank lending to the uncompetitive Euro area periphery. The costs of short term funding do...

Der Beitrag beschreibt das Schweizer Eigenmittelregime für Grossbanken. Dieses orientiert sich am Regelwerk Basel II und wird im Rahmen der Reformierung des Basler Abkommens (Basel III) weitere Anpassungen erfahren. Die Schweiz befindet sich damit nach wie vor im Prozess der Neugestaltung der...

Nach den Erfahrungen der Finanzkrise scheint es angebracht, in der Bankenaufsicht ein Instrument zu implementieren, das das Finanzmarktaufsichtssystem gegen potentielle Fehlleistungen bei der Anwendung risikogewichteter Eigenmittelvorschriften absichert. Die Vertreter der G-20 Länder haben...

Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...

This paper proposes a new regulatory approach that implements capital requirements contingent on executive incentive schemes. We argue that excessive risk-taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate...

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1-2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both...

We show how banks excessive risk-taking, stemming from informational asymmetries in loan markets, can lead to an excessive output loss when a recession starts. Risk-based capital requirements can alleviate the output loss by reducing excessive risk-taking in normal times. Model simulations...