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Using a unique and comprehensive dataset, this paper develops and uses three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around 6 global financial crises (such...
Persistent link: https://www.econbiz.de/10005789807
There is a need to introduce a statistical method to the toolkit of the regulators that is versatile, easy-to-use and can handle complex cause-effect phenomena that are not directly observable or measurable, i.e. latent constructs. In a first application of partial least squares structural...
Persistent link: https://www.econbiz.de/10013004163
Foreign currency loans given to the unhedged non-bank sector are remarkably prevalent in Europe. Especially Swiss franc denominated loans, which are widely popular in Eastern European countries, are believed to pose a significant exchange-rate-induced credit risk to the European banking sectors....
Persistent link: https://www.econbiz.de/10013101161
Persistent link: https://www.econbiz.de/10013073172
This article compares the direct regulation of hedge funds in the U.S. prior to the Dodd-Frank Act with the direct regulatory measures to address potential systemic risks of hedge funds ensued in its aftermaths. The direct regulation involves regulatory measures focusing immediately on the...
Persistent link: https://www.econbiz.de/10013054911
Foreign currency loans to the unhedged non-banking sector are remarkably prevalent in Europe and create a significant exchange-rate-induced credit risk to European banking sectors. In particular, Swiss franc (CHF)-denominated loans, popular in Eastern European countries, could trigger...
Persistent link: https://www.econbiz.de/10010221680
The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...
Persistent link: https://www.econbiz.de/10011452984
The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...
Persistent link: https://www.econbiz.de/10011383199
This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn...
Persistent link: https://www.econbiz.de/10012299006
The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...
Persistent link: https://www.econbiz.de/10012994774