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during the crisis was significantly higher for firms with a “weak” bank than for comparable firms with a “sound” bank– even …
Persistent link: https://www.econbiz.de/10013086885
This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and applies it to predicting distress in European banks. The main contributions of the paper are threefold. First, the paper introduces a conceptual framework to guide the process...
Persistent link: https://www.econbiz.de/10013315402
informing on the procyclicality of risk parameters and bank capital requirements. …
Persistent link: https://www.econbiz.de/10015199477
We propose a framework for testing the effects of changes in bank resolution regimes on bank behaviour. By exploiting … the differential relevance of recent changes in U.S. bank resolution (i.e., the introduction of the Orderly Liquidation … need to be complemented with other measures to limit financial institutions' risk-taking …
Persistent link: https://www.econbiz.de/10013057162
signal on bank project quality, short-term wholesale financiers have lower incentives to conduct costly monitoring, and …
Persistent link: https://www.econbiz.de/10011605269
signal on bank project quality, short-term wholesale financiers have lower incentives to conduct costly monitoring, and …
Persistent link: https://www.econbiz.de/10013141683
The paper analyzes how the removal of barriers to entry in banking affect loan competition, bank stability and economic … internalize only the private but not the public benefits of their better credit assessments. Only when bank failure is very likely …
Persistent link: https://www.econbiz.de/10011604449
The regulatory use of banks' internal models aims at making capital requirements more accurate and reducing regulatory arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem include the use of risk-weight floors and...
Persistent link: https://www.econbiz.de/10013059120
. In our model, producers are financed by both bank debt and equity, and face a mix of systematic and idiosyncratic … macroprudential policy is represented by a convex dependence of bank capital requirements on the quantity of uncollateralized credit …
Persistent link: https://www.econbiz.de/10011605596
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10011605172