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Displaying results 1 to 5 of 5.

  1. Syndicated loans and CDS positioning
    Author: Aldasoro, Iñaki; Barth, Andreas
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no... more

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 611
    Inter-library loan:
    No inter-library loan

     

    This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no evidence of banks using the CDS market for capital relief. Banks are more likely to hedge exposures to relatively riskier borrowers and less likely to sell CDS protection on domestic firms. Lead arrangers tend to buy more protection, potentially exacerbating asymmetric information problems. Dealer banks seem insensitive to firm risk, and hedge more than non-dealers when they are more profitable. These results allow for a better understanding of banks' credit risk management.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295210455
    Other identifier:
    hdl: 10419/193565
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 58 (November 2017)
    Subjects: bank; public policy; loan; credit institution; financial services; syndicated loans; CDS; speculation; capital regulation; EMIR; cross-border lending; asymmetric information
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  2. Multiple lending, credit lines and financial contagion
    Author: Cappelletti, Giuseppe; Mistrulli, Paolo Emilio
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Multiple lending has been widely investigated from both an empirical and a theoretical perspective. Nevertheless, the implications of multiple lending for the stability of the banking system still need to be understood. By lending to a common set of... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (2089)
    Inter-library loan:
    No inter-library loan

     

    Multiple lending has been widely investigated from both an empirical and a theoretical perspective. Nevertheless, the implications of multiple lending for the stability of the banking system still need to be understood. By lending to a common set of borrowers, banks are interconnected and then exposed to financial contagion phenomena, even if not directly. In this paper, we investigate a specific type of externality that originates from those borrowers that obtain liquidity from more than one bank. In this case, contagion may occur if a bank hit by a liquidity shock calls in some loans and borrowers then pay them back by drawing money from other banks. We show that, under certain circumstances that make other sources of liquidity unavailable or too costly, multiple lending might be responsible for a large liquidity shortage.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289928113
    Other identifier:
    hdl: 10419/175713
    Series: Working paper series / European Central Bank ; no 2089 (July 2017)
    Subjects: loan; credit; financial policy; banking policy; money-market liquidity; banking system
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Estimating the impact of shocks to bank capital in the euro area
    Author: Kanngiesser, Derrick; Martin, Reiner; Maurin, Laurent; Moccero, Diego
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (2077)
    Inter-library loan:
    No inter-library loan

     

    We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking sector variables. We estimate two shocks affecting the euro area economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to riskier assets and by adjusting lending to a larger extent than they increase the level of capital and reserves per se; ii) Historical shock decomposition analysis shows that bank capital shocks have contributed to increasing capital ratios since the crisis, impairing bank lending growth and contributing to widen bank lending spreads; and iii) counterfactual analysis shows that higher capital ratios pre-crisis would have helped dampening the euro area credit and business cycle. This suggests that going forward the use of capital-based macroprudential policy instruments may be helpful to avoid a repetition of the events seen since the start of the global financial crisis.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289927994
    Other identifier:
    hdl: 10419/175701
    Series: Working paper series / European Central Bank ; no 2077 (June 2017)
    Subjects: banking policy; euro area; monetary crisis; economic model; economic cycle; loan
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. Does employment protection legislation affect credit access?
    evidence from Europe
    Author: Moro, Andrea; Maresch, Daniela; Ferrando, Annalisa; Udell, Gregory F.
    Published: [2017]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We investigate the impact of employment protection on firms' credit access by looking at both credit obtained from banks and firms' decision to apply for a loan. We find that greater flexibility in structuring the employees' working hours and in... more

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    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534 (2063)
    Inter-library loan:
    No inter-library loan

     

    We investigate the impact of employment protection on firms' credit access by looking at both credit obtained from banks and firms' decision to apply for a loan. We find that greater flexibility in structuring the employees' working hours and in dismissing employees increases the probability that firms obtain credit and that greater flexibility in dismissing employees decreases the probability that firms are discouraged from applying for credit. However, our findings also reveal that firms perceive regulations providing flexibility with regard to the employees' working hours differently from banks, leading to a situation in which firms are more likely to be discouraged from applying for a loan, even though the probability to obtain a loan increases. Our results are robust to confounding, endogeneity, selection bias as well as to alternative specifications.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289927857
    Other identifier:
    hdl: 10419/175687
    Series: Working paper series / European Central Bank ; no 2063 (May 2017)
    Subjects: credit policy; job preservation; banking policy; type of business; labour law; loan
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  5. Carving out legacy assets
    a successful tool for bank restructuring?
    Author: Hellwig, Martin
    Published: March 2017
    Publisher:  Max Planck Institute for Research on Collective Goods, Bonn

    Beginning with the proposal by Enria (2017), the paper discusses the scope for successful bank restructuring through a carveout of impaired assets and a transfer of these assets to a government-sponsored asset management company. The paper argues... more

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    Signature:
    DS 62 (2017,3)
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    Beginning with the proposal by Enria (2017), the paper discusses the scope for successful bank restructuring through a carveout of impaired assets and a transfer of these assets to a government-sponsored asset management company. The paper argues that the success of such an operation requires a use of public funds, either outright or through contingent commitments. Clawback provisions are problematic because they create contingent liabilities that merely shift risks from the assets side to the liabilities sides of banks' balance sheets. The paper distinguishes between asset impairments coming from considerations of prospective returns and asset impairments coming from frictions in the markets in which these assets are traded. It also distinguishes between threats to bank solvency and threats to bank funding/liquidity. In each case, the success of bank restructuring from asset carveouts depends on the extent to which threats to the bank's solvency is eliminated. If these threats concern bank funding and asset liquidations at depressed prices, public funds may eventually not be needed. If threats to bank solvency come from nonperforming loans, taxpayer support may be essential. The notion of "real economic value" as the price at which assets should be transferred is problematic and leaves ample room for hidden subsidies. The success of restructuring of the individual bank may itself come at a risk to financial stability as the preservation of existing capacities maintains competitive pressure and depresses bank profitability. Additional risks may come from the burden on the government's fiscal stance.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789284606108
    Other identifier:
    hdl: 10419/162222
    Series: Preprints of the Max Planck Institute for Research on Collective Goods ; 2017, 3
    Subjects: banking policy; euro area; monetary crisis; loan; economic policy; financial policy; State aid; public financing; financial solvency; money-market liquidity
    Scope: 1 Online-Ressource (circa 33 Seiten)