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We examine the optimal size and composition of banks’ total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...
Persistent link: https://www.econbiz.de/10013248959
We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...
Persistent link: https://www.econbiz.de/10011978192
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
to be held on bank portfolios, rather than sold. I measure the capital ratio (the inverse of the leverage ratio, defined … as equity divided by asset value) for each bank at the time of each loan's origination. After controlling for both bank … results are robust to an instrumental variables strategy for predicting bank capital, a wide range of measures of bank capital …
Persistent link: https://www.econbiz.de/10012945665
%. When using the 2011 EBA capital exercise as a quasi-natural experiment to identify the impact of capital regulation on bank …
Persistent link: https://www.econbiz.de/10012850449
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/10012549240
, policymakers, and bank managers for better decision making. …
Persistent link: https://www.econbiz.de/10012655130
This paper studies bank new equity offerings in response to recently strengthened Basel capital regulation. Our … earlier studies, our empirical analyses provide supportive evidence for our penalty-aversion hypothesis. The Japanese bank … negative abnormal returns. Bank equity offerings in response to strengthened regulation convey negative information on the …
Persistent link: https://www.econbiz.de/10013033758
contrast to earlier studies, our empirical analysis provides supportive evidence for our penalty-aversion hypothesis. Bank …
Persistent link: https://www.econbiz.de/10013028111