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The impact of bank capital, bank liquidity and credit risk on profitability in postcrisis period : a comparative study of US and Asia

Abbas, Faisal; Iqbal, Shahid; Aziz, Bilal - In: Cogent economics & finance 7 (2019) 1, pp. 1-18

The purpose of this study is to explore the influence of bank capital, bank liquidity level and credit risk on the … USA banking industry. The findings show that bank capital and credit risk influence profitability in Asian developed … is similar for large, small and medium-size banks. The results of this paper indicate that liquidity and bank capital …

Persistent link: https://www.econbiz.de/10012023980

Estimation of capital requirements in downturn conditions via the CBV model : evidence from the Greek banking sector

Papalamprou, Konstantinos; Antoniou, Paschalis - In: Operations research perspectives 6 (2019), pp. 1-10

default rates and can account for macroeconomic factors and have fed each model with portfolio data from a major Greek bank …

Persistent link: https://www.econbiz.de/10012029553

The impact of capital ratio on lending of EU banks - the role of bank specialization and capitalization

Olszak, Małgorzata; Pipień, Mateusz; Roszkowska, Sylwia - 2015

In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between … bank loan growth and bank capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank …

Persistent link: https://www.econbiz.de/10012030770

Banks' capital surplus and the impact of additional capital requirements

Malovaná, Simona - 2017

Banks in the Czech Republic maintain their regulatory capital ratios well above the level required by their regulator. This paper discusses the main reasons for this capital surplus and analyses the impact of additional capital requirements stemming from capital buffers and Pillar 2 add-ons on...

Persistent link: https://www.econbiz.de/10011763804

Consistency of banks' internal probability of default estimates

Stepankova, Barbora - 2020

Some financial institutions can use internally developed credit risk models to determine their capital requirements. At the same time, the regulatory framework governing such models allows institutions to implement diverse rating systems with no specified penalty for poor model performance. To...

Persistent link: https://www.econbiz.de/10012320124

Strategic selection of risk models and bank capital regulation

Colliard, Jean-Edouard - 2017

arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can …

Persistent link: https://www.econbiz.de/10011958937

Equity versus bail-in debt in banking : an agency perspective

Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier - 2017

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

Benefits and Costs of Higher Capital Requirements for Banks

Cline, William R. - 2016

the economic cost of increasing bank capital requirements, based on the author's earlier estimate (Cline 2015) of the … identify the socially optimal level of bank capital. This optimum is estimated at about 7 percent of total assets, with a more …

Persistent link: https://www.econbiz.de/10012996104

What Explains the Difference in Leverage between Banks and Non-Banks?

Berg, Tobias - 2016

explain up to 90% of this difference. Banks' assets consist of a diversified portfolio of non-bank debt. Therefore, banks have … factor is able to explain a large fraction of the difference between bank and non-bank leverage …

Persistent link: https://www.econbiz.de/10012997871

Credit Risk in Banks’ Exposures to Non-Financial Firms

Accornero, Matteo - 2017

This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks' exposures to non-financial firms. Sectoral risk factors are accounted for using a multi-factor model. We use expected and unexpected losses as indicators of credit risk stemming from the...

Persistent link: https://www.econbiz.de/10012946809