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Bank Funding Structures and Risk

Bank Funding Structures and Risk »

Source: Bank Funding Structures and Risk : Evidence From the Global Financial Crisis

Volume/Issue: 2012/29

Series: IMF Working Papers

Author(s): Pablo Federico , and Francisco Vazquez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463933142

Keywords: pre-crisis, bank failure, bank liquidity, global financial crisis, Financial Institutions and Services: Government Policy and Regulation, Bank Liquidity Creation, Basel Iii, Macro-prudential Regulations,

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,0...

Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Source: How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

Impact of Regulatory Reforms on Large and Complex Financial Institutions

Impact of Regulatory Reforms on Large and Complex Financial Institutions »

Volume/Issue: 2010/16

Series: IMF Staff Position Notes

Author(s): Inci Ötker , and Ceyla Pazarbasioglu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 November 2010

DOI: http://dx.doi.org/10.5089/9781462345496.004

ISBN: 9781462345496

Keywords: Financial reform, Capital requirements, Basel Core Principles, Bank supervision, Banking, Capital controls, Bank reforms, Bank regulations, Liquidity controls, Basel III

Financial sector reforms are being considered to address the risks posed by large and complex financial institutions (LCFIs). The vast majority of global finance is intermediated by a handful of these institutions...

Fat-Tails and their (Un)Happy Endings
			: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation »

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455226061.001

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933791.001

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

Liquidity and Transparency in Bank Risk Management

Liquidity and Transparency in Bank Risk Management »

Volume/Issue: 2013/16

Series: IMF Working Papers

Author(s): Lev Ratnovski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 January 2013

DOI: http://dx.doi.org/10.5089/9781616356774.001

ISBN: 9781616356774

Keywords: regulation, Basel III, hedging, hedge, bank transparency, banking, bank liquidity, Government Policy and Regulation,

Banks may be unable to refinance short-term liabilities in case of solvency concerns. To manage this risk, banks can accumulate a buffer of liquid assets, or strengthen transparency to communicate solvency. While a...

Impact of Regulatory Reforms on Large and Complex Financial Institutions

Impact of Regulatory Reforms on Large and Complex Financial Institutions »

Source: Impact of Regulatory Reforms on Large and Complex Financial Institutions

Volume/Issue: 2010/16

Series: IMF Staff Position Notes

Author(s): Inci Ötker , and Ceyla Pazarbasioglu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 November 2010

ISBN: 9781462345496

Keywords: Financial reform, Capital requirements, Basel Core Principles, Bank supervision, Banking, Capital controls, Bank reforms, Bank regulations, Liquidity controls, Basel III

Financial sector reforms are being considered to address the risks posed by large and complex financial institutions (LCFIs). The vast majority of global finance is intermediated by a handful of these institutions...

Liquidity and Transparency in Bank Risk Management

Liquidity and Transparency in Bank Risk Management »

Source: Liquidity and Transparency in Bank Risk Management

Volume/Issue: 2013/16

Series: IMF Working Papers

Author(s): Lev Ratnovski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 January 2013

ISBN: 9781616356774

Keywords: regulation, Basel III, hedging, hedge, bank transparency, banking, bank liquidity, Government Policy and Regulation,

Banks may be unable to refinance short-term liabilities in case of solvency concerns. To manage this risk, banks can accumulate a buffer of liquid assets, or strengthen transparency to communicate solvency. While a...