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Measuring and stress-testing market-implied bank capital
Fuster, Andreas; Jondeau, Eric; Indergand, Martin - 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/10013306392
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Xtreme Credit Risk Models : Implications for Bank Capital Buffers
Allen, David E. - 2011
models in terms of correlation with actual bank losses and CDS spreads. The paper also shows how extreme measures can be used …
Persistent link: https://www.econbiz.de/10013129003
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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
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Bank Earnings Smoothing, Audit Quality and Procyclicality in Africa : The Case of Loan Loss Provisions
Ozili, Peterson K - 2017
via loan loss provisions is not reduced among African banks with Big 4 auditor; and (iv) bank provisioning in Africa is …
Persistent link: https://www.econbiz.de/10012960199
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Banks’ Discretion over the Debt Valuation Adjustment for Own Credit Risk
Dong, Minyue - 2019
how bank regulators and investors should interpret banks' reported DVA, and they support the decisions by the IASB and …
Persistent link: https://www.econbiz.de/10012902264
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Does the Current Expected Credit Loss Approach Decrease the Procyclicality of Banks’ Lending?
Chen, Jing; Dou, Yiwei; Ryan, Stephen G.; Zou, Youli - 2022
In the wake of the financial crisis, policymakers expressed the concern that banks’ use of the incurred loss model exacerbates their lending procyclicality by delaying the recognition of loan losses to recessions. Responding to this concern, the FASB issued Accounting Standards Update 2016-13,...
Persistent link: https://www.econbiz.de/10013406519
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The Relationship between Bank Credit Risk and Profitability and Liquidity
Berríos, Myrna R. - 2013
contribution of risky lending to lower bank profitability and liquidity. The sample data comes from the Mergent Online database …This paper's objective is to study the relationship between bank credit risk and financial performance and the … tenure, which are governance related bank characteristics. Performance variables in analysis of covariance models include net …
Persistent link: https://www.econbiz.de/10013090092
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Limitations of implementing an expected credit loss model
Bischof, Jannis; Haselmann, Rainer; Kohl, Frederik; … - 2022
The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using … not apply IFRS 9 around this cut-off. This pattern is consistent with a strategic use of the increased reporting … introduction of IFRS 9 will likely also be associated with real economic effects …
Persistent link: https://www.econbiz.de/10014247912
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Optimal Expected Credit Loss Impairment Rules
Fleer, Sebastian - 2022
bank's socially desirable liquidity provision ex interim (social cost). Aiming to implement sound risk-taking, the …
Persistent link: https://www.econbiz.de/10013405684
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Limitations of implementing an expected credit loss model
Bischof, Jannis; Haselmann, Rainer; Kohl, Frederik; … - 2022
The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using … not apply IFRS 9 around this cut-off. This pattern is consistent with a strategic use of the increased reporting … introduction of IFRS 9 will likely also be associated with real economic effects. …
Persistent link: https://www.econbiz.de/10013492773