Competition And Bank Risk The Role Of Securitization And Bank Capital

Author : Yener Altunbas,David Marques-Ibanez,Michiel van Leuvensteijn,Tianshu Zhao
Publisher : International Monetary Fund
Page : 39 pages
File Size : 44,6 Mb
Release : 2019-07-02
Category : Business & Economics
ISBN : 9781498318501

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Competition and Bank Risk the Role of Securitization and Bank Capital by Yener Altunbas,David Marques-Ibanez,Michiel van Leuvensteijn,Tianshu Zhao Pdf

We examine how bank competition in the run-up to the 2007–2009 crisis affects banks’ systemic risk during the crisis. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher competition at the industry level lead to higher realized systemic risk. The results suggest that the use of securitization exacerbates the effects of market power on the systemic dimension of bank risk, while capitalization partially mitigates its impact.

Author : Mr.Gianni De Nicolo,John H. Boyd
Publisher : International Monetary Fund
Page : 25 pages
File Size : 41,6 Mb
Release : 2003-06-01
Category : Business & Economics
ISBN : 9781451853810

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Bank Risk-Taking and Competition Revisited by Mr.Gianni De Nicolo,John H. Boyd Pdf

This study reinvestigates the theoretical relationship between competition in banking and banks' exposure to risk of failure. There is a large existing literature that concludes that when banks are confronted with increased competition, they rationally choose more risky portfolios. We briefly review this literature and argue that it has had a significant influence on regulators and central bankers, causing them to take a less favorable view of competition and encouraging anti-competitive consolidation as a response to banking instability. We then show that existing theoretical analyses of this topic are fragile, since they do not detect two fundamental risk-incentive mechanisms that operate in exactly the opposite direction, causing banks to aquire more risk per portfolios as their markets become more concentrated. We argue that these mechanisms should be essential ingredients of models of bank competition.

Author : Mr.Gianni De Nicolo,John H. Boyd,Abu M. Jalal
Publisher : International Monetary Fund
Page : 51 pages
File Size : 40,7 Mb
Release : 2006-12-01
Category : Business & Economics
ISBN : 9781451865578

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Bank Risk-Taking and Competition Revisited by Mr.Gianni De Nicolo,John H. Boyd,Abu M. Jalal Pdf

This paper studies two new models in which banks face a non-trivial asset allocation decision. The first model (CVH) predicts a negative relationship between banks' risk of failure and concentration, indicating a trade-off between competition and stability. The second model (BDN) predicts a positive relationship, suggesting no such trade-off exists. Both models can predict a negative relationship between concentration and bank loan-to-asset ratios, and a nonmonotonic relationship between bank concentration and profitability. We explore these predictions empirically using a cross-sectional sample of about 2,500 U.S. banks in 2003 and a panel data set of about 2,600 banks in 134 nonindustrialized countries for 1993-2004. In both these samples, we find that banks' probability of failure is positively and significantly related to concentration, loan-to-asset ratios are negatively and significantly related to concentration, and bank profits are positively and significantly related to concentration. Thus, the risk predictions of the CVH model are rejected, those of the BDN model are not, there is no trade-off between bank competition and stability, and bank competition fosters the willingness of banks to lend.

Author : Mr.Gianni De Nicolo,Marcella Lucchetta
Publisher : International Monetary Fund
Page : 39 pages
File Size : 45,7 Mb
Release : 2011-12-01
Category : Business & Economics
ISBN : 9781463927295

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Bank Competition and Financial Stability by Mr.Gianni De Nicolo,Marcella Lucchetta Pdf

We study versions of a general equilibrium banking model with moral hazard under either constant or increasing returns to scale of the intermediation technology used by banks to screen and/or monitor borrowers. If the intermediation technology exhibits increasing returns to scale, or it is relatively efficient, then perfect competition is optimal and supports the lowest feasible level of bank risk. Conversely, if the intermediation technology exhibits constant returns to scale, or is relatively inefficient, then imperfect competition and intermediate levels of bank risks are optimal. These results are empirically relevant and carry significant implications for financial policy.

Author : Yener Altunbas,David Marques-Ibanez,Michiel van Leuvensteijn,Tianshu Zhao
Publisher : International Monetary Fund
Page : 39 pages
File Size : 44,6 Mb
Release : 2019-07-02
Category : Business & Economics
ISBN : 9781498325554

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Competition and Bank Risk the Role of Securitization and Bank Capital by Yener Altunbas,David Marques-Ibanez,Michiel van Leuvensteijn,Tianshu Zhao Pdf

We examine how bank competition in the run-up to the 2007–2009 crisis affects banks’ systemic risk during the crisis. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher competition at the industry level lead to higher realized systemic risk. The results suggest that the use of securitization exacerbates the effects of market power on the systemic dimension of bank risk, while capitalization partially mitigates its impact.

Author : H. J. Blommestein,Karsten Biltoft,Organisation for Economic Co-operation and Development
Publisher : Organisation for Economic Co-operation and Development
Page : 376 pages
File Size : 48,6 Mb
Release : 1995
Category : Business & Economics
ISBN : STANFORD:36105017242319

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The New Financial Landscape by H. J. Blommestein,Karsten Biltoft,Organisation for Economic Co-operation and Development Pdf

On cover & title page: OECD documents

Author : Jihad Dagher,Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Lev Ratnovski,Mr.Hui Tong
Publisher : International Monetary Fund
Page : 38 pages
File Size : 41,9 Mb
Release : 2016-03-03
Category : Business & Economics
ISBN : 9781498387712

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Benefits and Costs of Bank Capital by Jihad Dagher,Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Lev Ratnovski,Mr.Hui Tong Pdf

The appropriate level of bank capital and, more generally, a bank’s capacity to absorb losses, has been at the core of the post-crisis policy debate. This paper contributes to the debate by focusing on how much capital would have been needed to avoid imposing losses on bank creditors or resorting to public recapitalizations of banks in past banking crises. The paper also looks at the welfare costs of tighter capital regulation by reviewing the evidence on its potential impact on bank credit and lending rates. Its findings broadly support the range of loss absorbency suggested by the Financial Stability Board (FSB) and the Basel Committee for systemically important banks.

Author : Ouarda Merrouche,Ms. Enrica Detragiache,Asli Demirgüç-Kunt
Publisher : International Monetary Fund
Page : 38 pages
File Size : 45,9 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781455254873

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Bank Capital by Ouarda Merrouche,Ms. Enrica Detragiache,Asli Demirgüç-Kunt Pdf

Using a multi-country panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the tangible equity ratio. We find several results: (i) before the crisis, differences in capital did not have much impact on stock returns; (ii) during the crisis, a stronger capital position was associated with better stock market performance, most markedly for larger banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) higher quality forms of capital, such as Tier 1 capital and tangible common equity, were more relevant.

Author : Tobias Adrian
Publisher : International Monetary Fund
Page : 53 pages
File Size : 53,6 Mb
Release : 2018-08-01
Category : Business & Economics
ISBN : 9781484343913

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Risk Management and Regulation by Tobias Adrian Pdf

The evolution of risk management has resulted from the interplay of financial crises, risk management practices, and regulatory actions. In the 1970s, research lay the intellectual foundations for the risk management practices that were systematically implemented in the 1980s as bond trading revolutionized Wall Street. Quants developed dynamic hedging, Value-at-Risk, and credit risk models based on the insights of financial economics. In parallel, the Basel I framework created a level playing field among banks across countries. Following the 1987 stock market crash, the near failure of Salomon Brothers, and the failure of Drexel Burnham Lambert, in 1996 the Basel Committee on Banking Supervision published the Market Risk Amendment to the Basel I Capital Accord; the amendment went into effect in 1998. It led to a migration of bank risk management practices toward market risk regulations. The framework was further developed in the Basel II Accord, which, however, from the very beginning, was labeled as being procyclical due to the reliance of capital requirements on contemporaneous volatility estimates. Indeed, the failure to measure and manage risk adequately can be viewed as a key contributor to the 2008 global financial crisis. Subsequent innovations in risk management practices have been dominated by regulatory innovations, including capital and liquidity stress testing, macroprudential surcharges, resolution regimes, and countercyclical capital requirements.

Author : Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez
Publisher : International Monetary Fund
Page : 41 pages
File Size : 51,8 Mb
Release : 2013-06-06
Category : Business & Economics
ISBN : 9781484381137

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Bank Leverage and Monetary Policy's Risk-Taking Channel by Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez Pdf

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.

Author : Allen Berger,Christa Bouwman
Publisher : Academic Press
Page : 294 pages
File Size : 42,5 Mb
Release : 2015-11-24
Category : Business & Economics
ISBN : 9780128005316

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Bank Liquidity Creation and Financial Crises by Allen Berger,Christa Bouwman Pdf

Bank Liquidity Creation and Financial Crises delivers a consistent, logical presentation of bank liquidity creation and addresses questions of research and policy interest that can be easily understood by readers with no advanced or specialized industry knowledge. Authors Allen Berger and Christa Bouwman examine ways to measure bank liquidity creation, how much liquidity banks create in different countries, the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, the effects of bailouts, and much more. They also analyze bank liquidity creation in the US over the past three decades during both normal times and financial crises. Narrowing the gap between the "academic world" (focused on theories) and the "practitioner world" (dedicated to solving real-world problems), this book is a helpful new tool for evaluating a bank’s performance over time and comparing it to its peer group. Explains that bank liquidity creation is a more comprehensive measure of a bank’s output than traditional measures and can also be used to measure bank liquidity Describes how high levels of bank liquidity creation may cause or predict future financial crises Addresses questions of research and policy interest related to bank liquidity creation around the world and provides links to websites with data and other materials to address these questions Includes such hot-button topics as the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, and the effects of bailouts

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 41,6 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Michiel van Leuvensteijn
Publisher : Unknown
Page : 62 pages
File Size : 43,7 Mb
Release : 2008
Category : Bank loans
ISBN : MINN:31951D02764745S

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Impact of Bank Competition on the Interest Rate Pass-through in the Euro Area by Michiel van Leuvensteijn Pdf

Author : Gary B. Gorton
Publisher : Oxford University Press
Page : 240 pages
File Size : 47,6 Mb
Release : 2010-03-08
Category : Business & Economics
ISBN : 0199742111

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Slapped by the Invisible Hand by Gary B. Gorton Pdf

Originally written for a conference of the Federal Reserve, Gary Gorton's "The Panic of 2007" garnered enormous attention and is considered by many to be the most convincing take on the recent economic meltdown. Now, in Slapped by the Invisible Hand, Gorton builds upon this seminal work, explaining how the securitized-banking system, the nexus of financial markets and instruments unknown to most people, stands at the heart of the financial crisis. Gorton shows that the Panic of 2007 was not so different from the Panics of 1907 or of 1893, except that, in 2007, most people had never heard of the markets that were involved, didn't know how they worked, or what their purposes were. Terms like subprime mortgage, asset-backed commercial paper conduit, structured investment vehicle, credit derivative, securitization, or repo market were meaningless. In this superb volume, Gorton makes all of this crystal clear. He shows that the securitized banking system is, in fact, a real banking system, allowing institutional investors and firms to make enormous, short-term deposits. But as any banking system, it was vulnerable to a panic. Indeed the events starting in August 2007 can best be understood not as a retail panic involving individuals, but as a wholesale panic involving institutions, where large financial firms "ran" on other financial firms, making the system insolvent. An authority on banking panics, Gorton is the ideal person to explain the financial calamity of 2007. Indeed, as the crisis unfolded, he was working inside an institution that played a central role in the collapse. Thus, this book presents the unparalleled and invaluable perspective of a top scholar who was also a key insider.

Author : Joshua Ronen,Anthony Saunders,Ashwinpaul C. Sondhi
Publisher : Bloomsbury Publishing USA
Page : 192 pages
File Size : 45,5 Mb
Release : 1990-11-30
Category : Business & Economics
ISBN : 9780313366680

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Off-Balance Sheet Activities by Joshua Ronen,Anthony Saunders,Ashwinpaul C. Sondhi Pdf

The objective of Off-Balance Sheet Activities is to gain insights into, and propose meaningful solutions to, those issues raised by the current proliferation of off-balance sheet transactions. The book has its origins in a New York University conference that focused on this topic. Jointly undertaken by the Vincent C. Ross Institute of Accounting Research and New York University's Salomon Center for the study of Financial Institutions at the Stern School of Business, the conference brought together academic researchers and practitioners in the field of accounting and finance to address the issues with the broad-mindedness requisite of a group whose approaches to solutions are as different from each other as their respectively theoretical and applied approaches to the disciplines of finance and accounting. The essays are divided into two sections. The first covers issues surrounding OBS activities and banking and begins with a brief introduction that places the essays into context. OBS activities and the underinvestment problem, whether loan sales are really OBS, and money demand and OBS liquidity are examined in detail. Section two, which also begins with a brief introduction, focuses on issues of securitized assets and financing. A report on recognition and measurement issues in accounting for securitized assets is followed by three separate discussion essays. Other subjects covered include contract theoretic analysis of OBS financing, the use of OBS financing to circumvent financial covenant restrictions, and debt contracting and financial contracting. The latter two contributions are also followed by discussion essays. This unique collection of papers will prove to be an interesting and valuable tool for accounting and finance professionals as well as for academics involved in these fields. It will also be an important addition to public, college, and university libraries.