Showing 1 - 10 of 404
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
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
Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and constructing a linking satellite equation for the firm-level...
Persistent link: https://www.econbiz.de/10011604921
We study optimal liquidity management, innovation, and production decisions for a continuum of firms facing financing frictions and the threat of creative destruction. We show that financing constraints lead firms to decrease production but may spur investment in innovation (R&D). We...
Persistent link: https://www.econbiz.de/10012988600
Flows of funds run by banks or by firms that belong to the same financial group as a bank are less volatile and less … sensitive to bad past performance. This enables bank-affiliated funds to better weather distress and to hold lower precautionary … complementarities in investors’ redemptions. Liquidity support and other benefits of bank affiliation are conditional on the financial …
Persistent link: https://www.econbiz.de/10014351464
This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks … relationship between bank solvency, on the one hand, and senior bond yields, term deposit rates and overnight deposit rates, on the … other. The analysis finds a significant negative relationship between bank solvency and the different types of funding costs …
Persistent link: https://www.econbiz.de/10012844540
both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset … are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector … vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current financial …
Persistent link: https://www.econbiz.de/10013074637
We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data … to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that …
Persistent link: https://www.econbiz.de/10013053419
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
informing on the procyclicality of risk parameters and bank capital requirements. …
Persistent link: https://www.econbiz.de/10015199477