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The Stability of Islamic Banks During the Subprime Crisis
Boumediene, Aniss - 2012
This empirical study examines the stability of Islamic banks during the subprime crisis. It covers a sample of fourteen Islamic banks and fourteen conventional banks. The conditional variance (volatility) of returns was used to measure stability. The E-GARCH and GJR-GARCH asymmetric models were...
Persistent link: https://www.econbiz.de/10013116530
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Dodd-Frank, Securitization, and the Subprime Mortgage Crisis
Hoffman, Stephen P. - 2013
There are few things more constant in life than the rise and fall of financial markets. When markets crash, however, we are forced to restore them while learning from our mistakes. In the wake of the recent subprime mortgage crisis, Congress has drastically but deservedly overhauled the...
Persistent link: https://www.econbiz.de/10013090228
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The Sub-Prime Crisis and the Asset Backed Securitisation
Baicu, Claudia - 2009
It is well known that the financial turmoil of 2007-2008 had its roots in the sub-prime mortgage crisis in the United States. There are several causes which triggered the sub-prime mortgage crisis; among them, the lax lending policies and the securitization practices had a prominent role. The...
Persistent link: https://www.econbiz.de/10013157922
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Regulatory Failure and the Subprime Credit Crunch - The Importance of Basel II Regulation/Supervision
Mihai Yiannaki, Simona - 2009
The paper provides redesigned approaches in bank risk control, as result of the latest credit crisis. The study's framework links the credit crunch causes to Basel II (BII) and Capital Requirements Directive (CRD) implementation in SMBs. A threefold approach applies: • primary data (June...
Persistent link: https://www.econbiz.de/10013159260
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Unconventional Monetary Policy and Disaster Risk : Evidence from the Subprime and COVID-19 Crises
Cortes, Gustavo - 2020
Following the outbreak of the COVID-19 pandemic, the Federal Reserve (Fed) and Central Banks around the world multilaterally conducted a mix of unconventional monetary policies. We evaluate the effects of these recent interventions vis-a-vis earlier episodes of Quantitative Easing (QE)...
Persistent link: https://www.econbiz.de/10012829239
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Modelling Short-Term Interest Rate Spreads in the Euro Money Market
Cassola, Nuno - 2013
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank (ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10013094747
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Do Large Hedgers and Speculators React to Events? A Stability and Events Analysis
Gurrib, Ikhlaas - 2021
Using CFTC’s COT data, this letter analysed whether large hedgers and large speculators were influenced by major economic events of the 1990s. Eight major economics events are looked at over 10-year period, and findings support that these informed players were hardly affected by major events....
Persistent link: https://www.econbiz.de/10013224489
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Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …
Persistent link: https://www.econbiz.de/10013074792
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10012898392