Showing 1 - 10 of 544
We study empirically the effect of focus (specialization) versus diversification on the return and the risk of banks … loan diversification produces an inefficient risk–return trade-off only for high-risk banks. Geographical diversification …) focus and diversification using a unique data set that is able to identify individual bank loan exposures to different …
Persistent link: https://www.econbiz.de/10005136462
Basel II and the ratio of risk-weighted over total assets. Analysing a panel of 115 banks from 21 OECD countries that were … eventually approved for applying the IRB to their credit portfolio, we find that risk-weight density is lower once regulatory … cannot be explained by flawed modelling, or improved risk-measurement alone. Consistent with theories of risk …
Persistent link: https://www.econbiz.de/10011083229
in the context of a simple model of insurance, where there is no Arrow Debreu equilibrium to allocate risk efficiently …
Persistent link: https://www.econbiz.de/10011083632
The recent crisis has shown that banks in distress can often expect to benefit from (implicit) government guarantees. This paper analyzes a panel of 781 banks from 90 countries to test whether the expectation of individual and systemic government support induces moral hazard. It shows that banks...
Persistent link: https://www.econbiz.de/10011145454
banking. Moreover, pre-crisis incentive pay appears too strong for an optimal trade-off between trading income and risk which …
Persistent link: https://www.econbiz.de/10011083493
financial development has important consequences for the efficiency and specialization (or diversification) of investments, in a …
Persistent link: https://www.econbiz.de/10005504526
that financial development has important consequences for efficiency and specialization (or diversification) of investments …
Persistent link: https://www.econbiz.de/10005662195
This paper analyses the impact of public disclosure of banks’ risk exposure on banks’ risk taking incentives and its … their loan portfolio, public disclosure reduces the probability of banking crises. When asset risk is driven largely by … between asset risk and the deposit rate demanded by informed depositors. …
Persistent link: https://www.econbiz.de/10005123714
This paper studies the impact of competition on the determination of interest rates, and on banks’ risk taking … lower entry costs foster competition in deposit rates and reduce banks’ incentives to limit risk exposure. While higher … insurance coverage amplifies this effect, two alternative arrangements (risk based contributions to the deposit insurance fund …
Persistent link: https://www.econbiz.de/10005124322
The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. Moreover, higher capital may have an unintended e¤ect of enabling banks to take more tail risk without the fear of …
Persistent link: https://www.econbiz.de/10009246611