This paper examines the relationship between banks' observed credit default swap (CDS) spreads and possible measures of systemic importance. We use five-year CDS spreads from Markit with an international sample of 71 banks to investigate whether market participants are giving them a discount on...

This paper illustrates channels by which regulations that require banks to hold liquid assets can either increase or decrease a bank's incentive to take risk with its remaining ineligible assets. A greater capacity to respond to liquidity stress increases the potential profits a bank would put...

This paper is based on the study of Hilscher and Raviv (2014) and Tan and Yang (2015) to investigate the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets'....

We use the option-based Merton (1974) model to derive the implicit probability of default of 218 banks in 24 emerging economies in the period 1995-2009 from their stock prices. This solvency indicator is well comparable between banks in different countries since it does not require the selection...

Banking sector is important for various macroeconomic and microeconomic variables in terms of mobilization of funds, increasing savings, and providing alternative investment instruments suited to the every person by minimizing the risk of adverse selection and moral hazard, allocating funds to...

This paper examines the dimensions of risk in the Nigerian Business environment with the objective of identifying the various types of risks facing the businesses operating in Nigeria. Empirical data for the paper was secondary and collected from the Kaduna branch of the Nigerian Stock Exchange...

In the wake of the S&L debacle, the LDC crisis and other systemic banking shocks, several recent proposals have called for regulatory reforms that emphasize the development of market incentives for both bankers and regulators. This article suggests that market-based reform may be feasible and...

This article examines the regulatory challenges raised by recent, overlooked changes in insurance markets that have led to a functional convergence between insurance and the broader financial sector.The law literature on financial regulation last addressed the issue of convergence over a decade...

This study shows that the statistical property of the commercial banks' rate of returns can be used to explain the resistance to using Value-at-risk (VaR) and stress tests to determine banks' capital adequacy. We showed that “fat-tail” risk requires more capital than the “normal tail”...

Insured depositors have no reason to care how their banks perform or how safe they are. Only uninsured depositors have that incentive. This paper offers a plan to replace some insured deposits with uninsured deposits. The plan: the FDIC would guarantee loan contracts if the loan takers deposited...