Similar Search Results

The adoption of stress testing : why the Basel capital measures were not enough

Wall, Larry D. - 2013

The Basel capital adequacy ratios lost credibility with financial markets during the crisis. This paper argues that failure was the result of the reliance of the Basel standards on overstated asset values in reported equity capital. The United States' stress tests were able to assist in...

Persistent link: https://www.econbiz.de/10010209147

Macroprudential policy : a blessing or a curse?

Popoyan, Lilit - 2016

After the destructive impact of the global financial crisis of 2008, many believe that pre-crisis financial market regulation did not take the "big picture" of the system suffciently into account and, subsequently, financial supervision mainly "missed the forest for the trees". As a result, the...

Persistent link: https://www.econbiz.de/10011477338

Risk weights, lending, and financial stability : limits to model-based capital regulation ; conference paper

Behn, Markus; Haselmann, Rainer; Vig, Vikrant - 2014

quantity and the composition of bank lending. We find that credit supplied by banks that introduced the model-based approach …

Persistent link: https://www.econbiz.de/10010485279

Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024

European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST …

Persistent link: https://www.econbiz.de/10014530302

Arbitraging the Basel Securitization Framework : Evidence from German ABS Investment

Efing, Matthias - 2021

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Persistent link: https://www.econbiz.de/10013248849

The Relevance of Discretionary Loan Loss Provisions During the Financial Crisis

Beck, Paul J. - 2019

Banks' use of accounting discretion in estimating loan loss provisions (LLPs) during the financial crisis has come under severe criticism. We argue, however, that it is during periods of instability like the financial crisis that accounting discretion is most relevant. We find that the...

Persistent link: https://www.econbiz.de/10012902931

Expected credit losses under imperfect foresight : insights from a partial equilibrium model

Sánchez Serrano, Antonio - 2021

We develop a partial equilibrium model to assess how backward-looking provisioning, loan loss provisioning and expected credit losses determine the temporal pattern of recognition of credit losses and the optimal credit spreads for banks. We apply our model to a dataset covering the Spanish...

Persistent link: https://www.econbiz.de/10013314409

Bank Income Smoothing in South Africa : Role of Ownership, IFRS and Economic Fluctuation

Ozili, Peterson K - 2019

specifically, we examine the influence of ownership, IFRS disclosure rules and economic fluctuation on the income smoothing … behaviour of South African banks while controlling for the traditional determinants of bank income smoothing via loan loss …-capitalised during boom periods (iv) and is pronounced among banks that adopt IFRS and among banks with a Big 4 auditor. We also find …

Persistent link: https://www.econbiz.de/10012898274

Non-performing loans and profitability indicators : the case of the Republic of Macedenia

Jolevski, Ljube - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 5-20

profile of the bank. This paper investigates the influence of the non-performing loans ratio on profitability indicators in … reducing bank profitability. Also, the statistical analysis confirms that the profitability position of the real sector is one … regression between the nonperforming loan ratio of non-financial entities and profitability indicators: rate of return on assets …

Persistent link: https://www.econbiz.de/10011862127

The Implications of Credit Risk Modeling for Banks’ Loan Loss Provisions and Loan-Origination Procyclicality

Bhat, Gauri - 2018

Economic policymakers express concern that procyclical lending by banks imperils financial stability. Prior research finds that banks that record timelier loan loss provisions originate more loans during downturns, consistent with loan-loss-provision timeliness mitigating loan-origination...

Persistent link: https://www.econbiz.de/10012940327