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Limitations of implementing an expected credit loss model

Bischof, Jannis; Haselmann, Rainer; Kohl, Frederik; … - 2022

The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using forward-looking information. We use supervisory loan-level data from Germany to investigate how banks apply their reporting discretion and adjust their lending upon the...

Persistent link: https://www.econbiz.de/10013531825

Macroprudential banking regulation: Does one size fit all?

Neuberger, Doris; Rissi, Roger - 2012

around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that … homogeneous or bank-based financial systems, the most effective regulatory policy to ensure financial stability depends on the …

Persistent link: https://www.econbiz.de/10010319289

Basel III and Systemic Risk Regulation - What Way Forward?

Georg, Co-Pierre - 2011

One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs). The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework...

Persistent link: https://www.econbiz.de/10010334491

Market concentration and the likelihood of financial crises

Bretschger, Lucas; Kappel, Vivien - 2010

According to theory, market concentration affects the likelihood of a financial crisis in different ways. The “concentration-stability” and the “concentrationfragility” hypotheses suggest opposing effects operating through specific channels. Using data of 160 countries for the period...

Persistent link: https://www.econbiz.de/10011753202

The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - 2012

factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of …

Persistent link: https://www.econbiz.de/10010311789

Covered bonds, core markets, and financial stability

Anand, Kartik; Chapman, James; Gai, Prasanna - 2012

We examine the financial stability implications of covered bonds. Banks issue covered bonds by encumbering assets on their balance sheet and placing them within a dynamic ring fence. As more assets are encumbered, jittery unsecured creditors may run, leading to a banking crisis. We provide...

Persistent link: https://www.econbiz.de/10010318759

Systemic Risk Diagnostics

Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010

, and the rest of the world. Controlling for global,region-specific, and industry effects, we construct coincident measures …

Persistent link: https://www.econbiz.de/10010325790

Contagion effects of the Silicon Valley Bank run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank … held-to-maturity securities, bank size, and cash holdings had a significant impact, while better-quality assets or holdings … rate hikes nor risks linked to bank size. While mid-sized banks experienced particular stress immediately after the SVB …

Persistent link: https://www.econbiz.de/10014540982

Fair value reclassifications of financial assets during the financial crisis

Bischof, Jannis; Brüggemann, Ulf; Daske, Holger - 2012

At the peak of the financial crisis in October 2008, the IASB amended IAS 39 to grant companies the option of abandoning fair value recognition for selected financial assets. Using a comprehensive global sample of publicly listed IFRS banks, we find that banks use the reclassification option to...

Persistent link: https://www.econbiz.de/10010281555

Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform

Fricke, Daniel; Lux, Thomas - 2012

We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a core-periphery model....

Persistent link: https://www.econbiz.de/10010281031