Showing 1 - 10 of 95
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches increases, expected losses decouple from unexpected...
Persistent link: https://www.econbiz.de/10012815313
We study public funding of banks and non-financial firms in a time of crisis. We find that bank capitalization is more …
Persistent link: https://www.econbiz.de/10013267914
We study the impact of disclosure about bank fundamentals on depositors' behavior in the presence (and absence) of … disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks … institution conveys meaningful information for others. Our findings highlight both the costs and benefits of bank transparency and …
Persistent link: https://www.econbiz.de/10012614208
Extending a standard credit-risk model illustrates that a single factor can drive both expected losses and the extent to which they may be exceeded in extreme scenarios, ie "unexpected losses." This leads us to develop a framework for forecasting these losses jointly. In an application to...
Persistent link: https://www.econbiz.de/10012614212
surplus when the social cost of bank failure c is large. When c is small and the banksíasset risk taking is not too sensitive …
Persistent link: https://www.econbiz.de/10012614222
Over 2010-2016, municipal debt in Germany crowded out private investment worth 1 percent of GDP. Forced to lend to municipalities by their statutes, local public banks compensated for declining municipal-debt yields by charging higher rates to firms in Germany's locally segmented credit markets....
Persistent link: https://www.econbiz.de/10013357504
This paper shows that local banking market conditions affect mortality rates in the United States. Exploiting the staggered relaxation of branching restrictions in the 1990s across states, we find that banking deregulation decreases local mortality rates. This effect is driven by a decrease in...
Persistent link: https://www.econbiz.de/10013469564
This paper proposes an early-warning bank risk measure based on the syndicate concentration of recent syndicated loans … that a bank participates in. At the bank level, higher values of the measure predict greater risks (i.e., loan loss …
Persistent link: https://www.econbiz.de/10014000519
Using lenders becoming members of the Task Force on Climate-Related Financial Disclosures (TCFD) as a plausible exogeneous shock, we examine whether and how lenders' commitment to transparent climate-related disclosures affects borrower firms' environmental performance. We find that client firms...
Persistent link: https://www.econbiz.de/10014282655
This study considers the pass-through of different ECB monetary policy measures to bank corporate lending rates of … transmission of monetary policy to bank lending rates appears to have become less efficient below zero, particularly in the case of … below zero or held significant amounts of negative interest-bearing central bank deposits. We see a reversal in the pass …
Persistent link: https://www.econbiz.de/10014309922