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Analysis of granularity adjustment for regulatory capital

Krali, Mario; Gurov, Andrey - In: Journal of central banking theory and practice 8 (2019) 3, pp. 111-132

The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...

Persistent link: https://www.econbiz.de/10012101497

The nexus between loan portfolio size and volatility : does banking regulation matter?

Bremus, Franziska; Ludolph, Melina - 2019

Since the global financial crisis and the related restructuring of banking systems, bank concentration is on the rise … in many countries. Consequently, bank size and its role for macroeconomic volatility (or: stability) is the subject of … intense debate. This paper analyzes the effects of financial regulations on the link between bank size, as measured by the …

Persistent link: https://www.econbiz.de/10012102660

Financial stability in Europe : banking and sovereign risk

Brůha, Jan; Kočenda, Evžen - 2017

ratio) and size (TBA) of the industry are linked to lower sovereign risk in general. Foreign bank penetration and …

Persistent link: https://www.econbiz.de/10011646829

Regulatory stress tests and bank responses : heterogeneous treatment effect in dynamic settings

Janda, Karel; Kravtsov, Oleg - 2019

This paper investigates the impact of regulatory stress test framework in the European Union on the banks conduct and portfolio adjustments. Our findings suggest that the banks subject to regulatory stress testing tend to structure their portfolios with lower risk density. However this does not...

Persistent link: https://www.econbiz.de/10012107780

Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"

Adrian, Tobias - 2015

Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a shock to the level of banks' solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger-causes higher solvency risk. These results point...

Persistent link: https://www.econbiz.de/10010502655

The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios

Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....

Persistent link: https://www.econbiz.de/10012197781

Market discipline and the regulatory change: evidence from Vietnam

Le, Tu D. Q. - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

is no evidence of the difference in market discipline between bank ownership and risks in the Vietnamese banking system …. Our research has implications for bank supervisors, policy-makers, and bank managers. …

Persistent link: https://www.econbiz.de/10012214690

The effectiveness of capital adequacy measures in predicting bank distress

Mayes, David G.; Stremmel, Hanno - 2014

Our concern in this paper is two-fold: first to see whether the determinants of bank distress and failure have been any …-weighted counterparts as predictors, despite the focus on the later in the Basel framework. This paper examines bank distress within a large … predict bank failures and draw inferences about the stability of contributing bank characteristics. Our models incorporate …

Persistent link: https://www.econbiz.de/10011711859

Systemic effects of bank equity issues : competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011791471

Optimal bank regulation in the presence of credit and run risk

Kashyap, Anil K.; Tsomocos, Dimitrios P.; Vardoulakis, … - 2017

We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset...

Persistent link: https://www.econbiz.de/10011803125