The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use, are identified. Then follow review of main challenges...

Uninsurable risks have significant impact on expenses of private and public sectors of economy. In spite of several commercial insurance products and high quality of insurance services current trend of insurance industry is set to define exceptions of insurance protection. The highest losses...

We estimate the required increase in banks’ lending spreads assuming that banks under regulatory pressure would raise lending spreads to prevent ROE from falling when the capital regulation is tightened. We focus our analysis on six Czech banks that are under regulatory pressure, and are...

The European sovereign debt crisis illustrated how the stability of the entire financial system suffers when banks and sovereigns become too intertwined. However, there has been seemingly little success in reducing the bank-sovereign nexus in the decade since the crisis. As this Weekly Report...

Following the recent global financial crisis, Vietnamese banks experienced changes in the minimum capital adequacy requirement following the Basel framework. We examine the impact of the regulatory change on market discipline between 2006 and 2015. The findings show a weakening of market...

Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments....

We investigate how funding liquidity affects the bank lending using a large sample of US bank holding companies. We document a consistent evidence of a lower loan growth for banks that rely more on deposits. The quantile regressions which dissect the lending behavior of banks at the right tail...

The 2019 revision to the Capital Requirements Directive allowed the systemic risk buffer to be applied on a sectoral basis in the European Union. Since then an increasing number of countries have implemented the new tool, primarily to address vulnerabilities in the residential real estate...

We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the government's ability to appoint independent directors on the board of an...