This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses the hidden exit costs that can sometimes exist. The article provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when...

The history of banking provides a view that banks are often a liability to stable economies and their behavior can promote inequality, especially when they are involved in imprudent manipulation of credit and money and require government bailouts. What is the future of capitalism without banks,...

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”...

This paper investigates the relationship between fair value accounting and the behavior adjustment of commercial banks which is aimed at catering to the regulatory requirements by using a dataset from Chinese listed commercial banks from 2007-2011.The empirical results show that (1) The...

We examine recovery rates of the European banking sector. To this end, we employ information embedded in credit default swaps (CDS) with different levels of seniority. To estimate implied recovery rates, we extend the model of Schlafer and Uhrig-Homburg (2014) and include absolute priority...

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...

This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...

Given the importance attached to sound liquidity management in the banking industry, this paper investigates the effect of bank liquidity on profitability. The study employs the bankruptcy cost and risk-return hypotheses to examine the linear effect of bank liquidity on bank profit. Annual...

This paper presents a continuous-time bank capital structure model in which the bank's assets are subject to both diffusion and tail risk. The latter causes uninsured deposits to be risky, as the bank's assets can jump below the threshold at which it is optimal for depositors to run. The model...