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Bank Ownership, Market Structure and Risk

Nicoló, Gianni De; Loukoianova, Elena - International Monetary Fund (IMF) - 2007

relationship between banks' risk of failure, market structure, bank ownership, and banks' screening and bankruptcy costs. These … model rationalizes this evidence if both state-owned and foreign banks have either larger screening and/or lower bankruptcy … costs than private domestic banks, banks' differences in market shares, screening or bankruptcy costs are not too large, and …

Persistent link: https://www.econbiz.de/10005826093

The Use (and Abuse) of CDS Spreads During Distress

Spackman, Carolyne; Singh, Manmohan - International Monetary Fund (IMF) - 2009

Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...

Persistent link: https://www.econbiz.de/10005826491

Making OTC Derivatives Safe; A Fresh Look

Singh, Manmohan - International Monetary Fund (IMF) - 2011

Recent regulatory efforts, especially in the U.S. and Europe, are aimed at reducing moral hazard so that the next financial crisis is not bailed out by tax payers. This paper looks at the possibility that central counterparties (CCPs) may be too-big-to-fail entities in the making. The present...

Persistent link: https://www.econbiz.de/10008876583

The Impact of Legislationon Credit Risk; Comparative Evidence From the United States, the United Kingdom and Germany

Schmieder, Philipp; Schmieder, Christian - International Monetary Fund (IMF) - 2011

This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks …

Persistent link: https://www.econbiz.de/10008876595

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Basurto, Miguel A. Segoviano; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2011

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the...

Persistent link: https://www.econbiz.de/10009019585

Macroprudential Regulation Under Repo Funding

Valderrama, Laura - International Monetary Fund (IMF) - 2010

may lead to the bankruptcy of its repo counterparties triggering contagion across asset classes. To buttress the …

Persistent link: https://www.econbiz.de/10008671292

Bank Resolution Costs, Depositor Preference, and Asset Encumbrance

Hardy, Daniel C. - International Monetary Fund (IMF) - 2013

that arises in case of resolution or bankruptcy. This net benefit, which may be capitalized into the value of the bank …

Persistent link: https://www.econbiz.de/10011123844

Bank Funding Structures and Risk; Evidence From the Global Financial Crisis

Federico, Pablo; Vázquez, Francisco F. - International Monetary Fund (IMF) - 2012

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001?09. The results show that banks with...

Persistent link: https://www.econbiz.de/10009650626

Mortgage Defaults

Martinez, Leonardo; Hatchondo, Juan Carlos; Sanchez, Juan M. - International Monetary Fund (IMF) - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10009650640

Balance-Sheet Shocks and Recapitalizations

Sandri, Damiano; Valencia, Fabian - International Monetary Fund (IMF) - 2012

We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for...

Persistent link: https://www.econbiz.de/10009654148