The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

We examine whether global or local events are important drivers in causing major shifts and excessive volatility in Islamic indexes than in conventional indexes. We apply an iterative cumulative sum of squares (ICSS) algorithm to identify structural breaks in the volatility of several major Dow...

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...

The philosophy behind the debt market discipline approach to banking regulation presumes that the pricing of bank debt securities, if accurate, conveys reliable signals to supervisors. In this paper, we take a critical look at the feasibility of such an approach by exploring empirically the...

Depuis l'éclatement de la crise des subprimes en aout 2007, les autorités de tutelle ont accordé une attention toute particulière au rôle joué par les intermédiaires financiers dans les canaux de propagation des chocs récessifs sur l'économie réelle. L'objectif de cet article est...

This study examines the reaction of private market participants to the enhancement of the “Too-Big-To-Fail” (TBTF) doctrine in the Japanese banking sector. The event justifying the use of the “TBTF” label occurred on May 17th , 2003, when the Japanese government decided to bailout Resona...

La faillite spectaculaire de la banque d'investissement Lehman Brothers a été perçue par de nombreux analystes comme un véritable point de retournement dans la crise financière actuelle. Le spectre du risque systémique a semé la panique parmi les investisseurs, non seulement aux...

The logic behind the indirect channel of market discipline presumes that the pricing of bank debt in the secondary market, if accurate, conveys to supervisor and other market participants a reliable signal of bank's financial conditions and default risk. By collecting a unique dataset of...

The academic literature has regularly argued that market discipline can support regulatory authority mechanisms in ensuring banking sector stability. This includes, amongst other things, using forward-looking market prices to identify those credit institutions that are most at risk of failure....

Cet article se concentre sur les propositions de dette subordonnée obligatoire comme instrument de discipline de marché. Une Politique de Dette Subordonnée (PDS) se définit comme une exigence réglementaire formelle par laquelle les grandes banques sont obligées d'émettre régulièrement...