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Both in the United States and in the Euro area, bank supervision is the joint responsibility of local and central …
Persistent link: https://www.econbiz.de/10013020788
Both in the United States and in the Euro area, bank supervision is the joint responsibility of local and central …
Persistent link: https://www.econbiz.de/10011605831
highlight weak macro-economic conditions, lax bank supervision and individual bank weakness as the key factors …
Persistent link: https://www.econbiz.de/10013009659
framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance … sheets with these prudential indicators to investigate how they affect bank resilience. The share of non-interest income …
Persistent link: https://www.econbiz.de/10012869817
. Political indicators reveal bailout expectations after 2009, manifested as beliefs about the predicted probability of receiving … was lower, and loan rates were higher for banks with higher bailout expectations. The interest margins of unsupported …
Persistent link: https://www.econbiz.de/10013020652
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems—elevated and unresolved...
Persistent link: https://www.econbiz.de/10012836382
contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics …
Persistent link: https://www.econbiz.de/10012894738
We study the relationship between banks’ size and risk-taking in the context of supranational banking supervision. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives underpinned by the too-big-to-fail effect, we find an inverse relationship...
Persistent link: https://www.econbiz.de/10013210707
frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank … lending generates bank asset returns with limited upside but significant downside risk. The asymmetric distribution of these … returns and their implications for the evolution of bank net worth are important for capturing the frequency and severity of …
Persistent link: https://www.econbiz.de/10012833095
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10013105310