1,721,041 research outputs found
I CDS spreads come indicatori della rischiosità di una banca? Alcune evidenze empiriche dalla recente crisi finanziaria
No full textIn seguito al fallimento della banca d’affari Lehman Brothers e al quasi tracollo della compagnia d’assicurazioni American International
Group (Aig), entrambe fortemente impegnate nel settore dei Cds, si è iniziata a registrare una maggiore attenzione verso i Cds dei
principali gruppi bancari. Utilizzando i Cds spreads di un campione di banche internazionali nel periodo 2005 - marzo 2010, il presente
lavoro indaga la presenza di una relazione tra i Cds spreads e gli indicatori di bilancio. Dai risultati dell’analisi empirica si evince una
forte relazione tra la dinamica dei Cds spreads del settore bancario e le performance economico-finanziarie delle banche, rendendoli
quindi importanti indicatori del profilo di rishio bancario
Capital and liquidity ratios and financial distress. Evidence from the European banking industry
Full text linkUsing a large bank-level dataset, we test the relevance of both structural liquidity and capital ratios, as defined in Basel III, on banks' probability of failure. To include all relevant episodes of bank failure and distress (F&D) occurring in the EU-28 member states over the past decade, we develop a broad indicator that includes information not only on bankruptcies, liquidations, under receivership and dissolved banks, but also accounts for state interventions, mergers in distress and EBA stress test results. Estimates from several versions of the logistic probability model indicate that the likelihood of failure and distress decreases with increased liquidity holdings, while capital ratios are significant only for large banks. Our results provide support for Basel III's initiatives on structural liquidity and for the increased regulatory focus on large and systemically important banks
On the relationship between bank CDS spreads and balance sheet indicators of bank risk
No full textThe study investigates whether there is a relationship between CDS spreads and balance sheet indicators of bank risk profile. Our analysis confirms the presence of a strong link between the dynamics of CDS spreads in the banking sector and the bank’s economic and financial performance and therefore highlights the need to pay more attention to the behavior of bank CDS spreads. This would enable regulators and authorities to use CDS spreads as an Early Warning Signal (EWS) of potential problems in the banking system to identify in advance sign of crisis in the banking sector and to avoid the consequences of further financial turmoil undermining the overall stability of the banking system
The interplay between banks and markets: supervisory stress test results and investor reactions
No full textThis chapter provides an overview of European bank stress tests, one of the supervisory tools used to provide investors with in-depth information on the risks and profit drivers of big lenders. The authors review previous evidence on stress test exercises run by the Federal Reserve and by European supervisors (including the European Banking Authority and the European Central Bank), discussing the key differences in stress test programmes across the two areas in terms of institutional designs, scenario assumptions and disclosure procedures. The interplay between banks and markets is analysed by looking at investor reactions upon the announcement of stress test results. The chapter also includes some brief concluding remarks on the functions of the stress tests
Regulatory reforms in the European banking sector
No full textThis handbook presents a timely collection of original studies on relevant themes, policies and developments in European banking. The contributors analyse how the crisis years have had a long lasting impact on the structure of European banking and explore the regulatory architecture that has started to take form in their wake. Academic experts and senior policy makers have contributed to this volume, which is organized in five main parts. The first part presents an overview of European banking through the crisis and beyond. The second part analyses performance and innovation in EU banking markets. The third part discusses the key regulatory changes aimed at fostering financial stability. Part four looks at the relevance of cross-border banking and part five presents a detailed analysis of the main EU banking markets. This is a highly informative and carefully presented handbook, which provides thought-provoking insights into the past, present and future landscapes of European banking. It will appeal to a wide readership, from scholars and students, through to researchers, practitioners and policy-makers
The interplay between banks and markets: supervisory stress test results and investor reactions
No full textThis chapter provides an overview of European bank stress tests, one of the supervisory tools used to provide investors with in-depth information on the risks and profit drivers of big lenders. The interplay between banks and markets is analysed by looking at investor reactions upon the announcement of stress test results. The chapter also includes a comparison between Europe and the US: we review previous evidence on stress test exercises run by the Federal Reserve and by European supervisors (including the European Banking Authority and the European Central Bank), discussing the key differences in stress test programs across the two areas, in terms of institutional designs, scenario assumptions and disclosure procedures
The determinants of bank CDS spreads: evidence from the recent financial crisis
No full textBased on a sample of mid-tier and top-tier internationally active banks with 5-year senior CDS, this paper
investigates the determinants of credit default swaps (CDS) spreads and whether CDS spreads can be
considered a good proxy of bank performance. The analysis encompasses three time periods: a pre-crisis
period (1 January 2005–30 June 2007), a crisis period (1 July 2007–31 March 2009) and a post-crisis
period (1 April 2009–30 June 2011) and focuses exclusively on bank-specific balance sheet ratios. The
results of the empirical analysis indicate that bank CDS spreads, both in the pre-crisis period, but especially
in the crisis period, reflect the risk captured by bank balance sheet ratios. We find that the determinants
of bank CDS spreads vary strongly across time, as economic and financial conditions vary. TIER 1 ratio
and leverage appear insignificant in all of the three periods considered, while liquidity indicators become
significant only during the crisis and post crisis period
The impact of the new structural liquidity rules on the profitability of EU banks.
No full textBased on a sample of the largest European banks, this chapter aims to contribute to the current debate on the implications of the new structural liquidity ratio of Basel III, the Net Stable Funding Ratio (NSFR), on banks’ profitability. The results of the empirical analysis indicate that the NSFR is a significant determinant of banks’ performance and it is positively related to ROA and ROE. Hence, banks' compliance with the NSFR threshold does not appear to put banks’ profitability under pressure
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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