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The leverage ratio, risk-taking and bank stability

Smith, Jonathan Acosta; Grill, Michael; Lang, Jan Hannes - 2017

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

Persistent link: https://www.econbiz.de/10011804394

Bank Capital and liquidity creation: Granger causality evidence

Horváth, Roman; Seidler, Jakub; Weill, Laurent - 2012

This paper examines the relationship between capital and liquidity creation. This issue is of interest to determine the potential impact of tighter capital requirements such as those involved in Basel III reforms on liquidity creation. We perform Granger-causality tests in a dynamic GMM panel...

Persistent link: https://www.econbiz.de/10010318422

Evaluating the impact of dividend restrictions on euro area bank market values

Andreeva, Desislava; Bochmann, Paul; Schneider, Julius - 2023

investor cash flows and indirectly, by increasing the uncertainty about future distributions and thus banks' equity risk premia …. The impact differed across banks depending on their distribution plans and risk-adjusted profitability. Our analysis …

Persistent link: https://www.econbiz.de/10014374475

The Countercyclical Capital Buffer and the Composition of Bank Lending

Auer, Raphael A.; Ongena, Steven - 2019

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks’ supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

Persistent link: https://www.econbiz.de/10012141016

The cyclical behaviour of European bank capital buffers

Jokipii, Terhi; Milne, Alistair - 2006

Using an unbalanced panel of commercial, savings and co-operative banks for the years 1997 to 2004 we examine the cyclical behaviour of European bank capital buffers.After controlling for other potential determinants of bank capital, we find that capital buffers of the banks in the accession...

Persistent link: https://www.econbiz.de/10012147973

Bank capital, liquidity creation and deposit insurance

Fungáčová, Zuzana; Weill, Laurent; Zhou, Mingming - 2010

This paper examines how the introduction of deposit insurance influences the relationship between bank cap-ital and liquidity creation. As discussed by Berger and Bouwman (2009), there are two competing hypothes-es on this relationship which can be influenced by the presence of deposit...

Persistent link: https://www.econbiz.de/10012148616

The relationship between risk and capital in Swiss commercial banks : a panel study

Bichsel, Robert; Blüm, Jürg M. - 2002

In this paper we investigate the relationship between changes in risk and changes in leverage for a panel of Swiss … banks. Using market data for risk and both accounting and market data for capital for the period between 1990 and 2002, we … find a positive correlation between changes in capital and changes in risk, i.e., higher levels of capital are associated …

Persistent link: https://www.econbiz.de/10011397821

Evaluating the information in the Federal Reserve stress tests

Flannery, Mark; Hirtle, Beverly J.; Kovner, Anna - 2015

We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...

Persistent link: https://www.econbiz.de/10011342852

Securities trading by banks and credit supply : micro-evidence

Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2015

We analyze securities trading by banks and the associated spillovers to the supply of credit.Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

Persistent link: https://www.econbiz.de/10010527104

Credit valuation adjustment modelling during a global low interest rate environment

Macek, Petr; Teplý, Petr - 2015

the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … measure of the market value of counterparty credit risk. We use simulated data to develop a stress test model to determine the …

Persistent link: https://www.econbiz.de/10010468530