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Bank capital shock propagation via syndicated interconnectedness

Nirei, Makoto; Caballero, Julián; Sushko, Vladyslav - 2015

Persistent link: https://www.econbiz.de/10010496226

Systemic Risk Across Sectors : Are Banks Different?

Muns, Sander - 2011

We compare systemic risk in the banking sector, the insurance sector, the construction sector, and the food sector. To measure systemic risk, we use extreme negative returns in stock return data for the twenty largest U.S. Firms in each sector. We find that systemic risk is significantly larger...

Persistent link: https://www.econbiz.de/10013125988

Bank Risk Factors and Changing Risk Exposures of Banks : Capital Market Evidence Before and During the Financial Crisis

Bessler, Wolfgang - 2013

and sovereign risks. In this paper we analyze the magnitude and changes in risk exposures that are reflected in bank stock … investigate bank risk in different economic environments including the introduction of the Euro and the recent financial and … decades when the Basel regulatory framework with different bank capital regulations was introduced. In our multi-factor asset …

Persistent link: https://www.econbiz.de/10013090319

Non-performing loans and systemic risk of Indian Banks

Dash, Mihir - In: Journal of applied management and investments : JAMI 10 (2021) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10013093108

Inside Debt, Bank Default Risk and Performance during the Crisis

Bennett, Rosalind L. - 2014

default risk and performance in bank holding companies (BHCs) during the recent credit crisis. Using a sample of 371 BHCs, we … bank in BHCs that paid their CEOs relatively higher inside debt …

Persistent link: https://www.econbiz.de/10013065733

Measuring and stress-testing market-implied bank capital

Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022

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

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V. - 2019

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

Persistent link: https://www.econbiz.de/10012898392

Bank Stress Tests : An Active Treatment or a Placebo?

Gounopoulos, Dimitrios - 2018

We empirically examine the quality of accounting information that authorities utilise when conducting bank stress tests … stress tests. Consequently, this incentivises bank managers to exercise accounting discretion over loan loss provisions in …

Persistent link: https://www.econbiz.de/10012935105

Bank Stress Testing : A Stochastic Simulation Framework to Assess Banks’ Financial Fragility

Montesi, Giuseppe - 2018

We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy, financial fragility and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is...

Persistent link: https://www.econbiz.de/10012936094

Bank Risk, Financial Stress, and Bank Derivative Use

Bliss, Barbara A. - 2017

This paper distinguishes hedging from speculative derivative usage by U.S. bank holding companies (BHCs). This is …

Persistent link: https://www.econbiz.de/10012946107