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A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin - 2016

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10013009194

Syndicated Loans and CDS Positioning

Aldasoro, Iñaki - 2017

This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no evidence of banks using the CDS market for capital...

Persistent link: https://www.econbiz.de/10012941795

Coco Issuance and Bank Fragility

Avdjiev, Stefan - 2017

The promise of contingent convertible capital securities (CoCos) as a 'bail-in' solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. In this paper, we undertake the first comprehensive empirical analysis of bank CoCo...

Persistent link: https://www.econbiz.de/10012942917

Incentives and tranche retention in securitisation: a screening model

Fender, Ingo; Mitchell, Janet - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

This paper examines the power of different contractual mechanisms to influence an originator’s choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a “vertical slice”, or...

Persistent link: https://www.econbiz.de/10009138474

Asymmetric Information and AHE Securitization of SME Loans

Albertazzi, Ugo - 2017

securitization market by looking at the correlation between the securitization (risk-transfer) and the default (accident) probability … a strong relationship is a credible enough commitment to monitor after securitization. Importantly, the selection of …

Persistent link: https://www.econbiz.de/10012966394

Securitization is Not that Evil after All

Albertazzi, Ugo - 2014

importantly, contractual features of the securitization deal, including the seniority structure of the ABSs issued by the Special … can effectively counter the negative effects of asymmetric information in the securitization market by selling less opaque …

Persistent link: https://www.econbiz.de/10013067914

Financial Intermediation and the Post-Crisis Financial System

Shin, Hyun Song - 2013

Securitization was meant to disperse credit risk to those who were better able to bear it. In practice, securitization … framework for the financial system for assessing the impact of securitization on financial stability. If securitization leads to … consequences for financial stability. Covered bonds are one form of securitization that do not fall foul of this principle. I …

Persistent link: https://www.econbiz.de/10013094784

Incentives and Tranche Retention in Securitisation : A Screening Model

Fender, Ingo - 2013

This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a “vertical slice,” or share...

Persistent link: https://www.econbiz.de/10013095602

The US dollar shortage in global banking and the international policy response

McGuire, Patrick M.; Peter, Goetz von - Bank for International Settlements / Monetary and … - 2009

Among the policy responses to the global financial crisis, the international provision of US dollars via central bank swap lines stands out. This paper studies the build-up of stresses on banks' balance sheets that led to this coordinated policy response. Using the BIS international banking...

Persistent link: https://www.econbiz.de/10009138467

Mutual guarantee institutions and small business finance

Columba, Francesco; Gambacorta, Leonardo; Mistrulli, … - Bank for International Settlements / Monetary and …

A large body of literature has shown that small firms experience difficulties in accessing the credit market due to informational asymmetries. Banks can overcome these asymmetries through relationship lending, or at least mitigate their effects by asking for collateral. Small firms, especially...

Persistent link: https://www.econbiz.de/10009138470