Bank Solvency and Funding Cost : New data and new results /
Schmitz, Stefan W.,
Bank Solvency and Funding Cost : New data and new results / by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama. - Washington, D.C. : International Monetary Fund, 2017. - 1 online resource (47) - IMF working paper ; WP/17/116 . - IMF working paper ; WP/17/16. .
Includes bibliographical references and index.
Cover; CONTENTS; I. Introduction; II. Related Literature; III. The Relation Between Solvency Risk and Funding Costs; A. Construction of a New Dataset; B.A Simultaneous Equation Approach; IV. Estimation Results; V. Robustness Checks; A. Introducing a Market-based Measure of Bank Solvency; B. Introducing a Measure of Liquidity Risk; VI. Application to Stress Testing; VII. Summary and Conclusions; References; Figures; 1. Cross-sectional Distribution of Bank Solvency and Funding Costs; 2. Evolution of Bank Solvency and Funding Costs; 3. Decomposition of Impact on CET1-2014 EBA Stress Test. Tables1. Data Coverage; 2. Summary Statistics of the Dependent and Independent Variables; 3. Cross-Correlation Matrix of the Dependent and Independent Variables; 4. Bank Regulatory Capital and Funding Costs; 5. Test Results for Bank Regulatory Capital and Funding Costs; 6. Market-Based Bank Solvency and Funding Costs; 7. Test Results for Market-Based Bank Solvency and Funding Costs; 8. Bank Regulatory Capital and Funding Costs (Controlling for Liquidity Risk); 9. Test Results for Bank Regulatory Capital and Funding Costs (Controlling for Liquidity Risk). 10. Market-Based Bank Solvency and Funding Costs (Controlling for Liquidity Risk)11. Test Results for Market-Based Bank Solvency and Funding Costs (Controlling for Liquidity Risk); 12. Bank Regulatory Capital and Funding Costs (OLS Estimation); 13. Market-Based Bank Solvency and Funding Costs (OLS Estimation); 14. Impact of Bank Solvency and Funding Cost Interaction-2014 EBA Stress Test.
1484300904 9781484300909
1013872 MIL
Banks and banking--Risk management--Econometric models.
Bank failures--Prevention--Econometric models.
Financial risk management--Econometric models.
BUSINESS & ECONOMICS / Finance.
Electronic books.
HG3881.5.I58
332.1
Bank Solvency and Funding Cost : New data and new results / by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama. - Washington, D.C. : International Monetary Fund, 2017. - 1 online resource (47) - IMF working paper ; WP/17/116 . - IMF working paper ; WP/17/16. .
Includes bibliographical references and index.
Cover; CONTENTS; I. Introduction; II. Related Literature; III. The Relation Between Solvency Risk and Funding Costs; A. Construction of a New Dataset; B.A Simultaneous Equation Approach; IV. Estimation Results; V. Robustness Checks; A. Introducing a Market-based Measure of Bank Solvency; B. Introducing a Measure of Liquidity Risk; VI. Application to Stress Testing; VII. Summary and Conclusions; References; Figures; 1. Cross-sectional Distribution of Bank Solvency and Funding Costs; 2. Evolution of Bank Solvency and Funding Costs; 3. Decomposition of Impact on CET1-2014 EBA Stress Test. Tables1. Data Coverage; 2. Summary Statistics of the Dependent and Independent Variables; 3. Cross-Correlation Matrix of the Dependent and Independent Variables; 4. Bank Regulatory Capital and Funding Costs; 5. Test Results for Bank Regulatory Capital and Funding Costs; 6. Market-Based Bank Solvency and Funding Costs; 7. Test Results for Market-Based Bank Solvency and Funding Costs; 8. Bank Regulatory Capital and Funding Costs (Controlling for Liquidity Risk); 9. Test Results for Bank Regulatory Capital and Funding Costs (Controlling for Liquidity Risk). 10. Market-Based Bank Solvency and Funding Costs (Controlling for Liquidity Risk)11. Test Results for Market-Based Bank Solvency and Funding Costs (Controlling for Liquidity Risk); 12. Bank Regulatory Capital and Funding Costs (OLS Estimation); 13. Market-Based Bank Solvency and Funding Costs (OLS Estimation); 14. Impact of Bank Solvency and Funding Cost Interaction-2014 EBA Stress Test.
1484300904 9781484300909
1013872 MIL
Banks and banking--Risk management--Econometric models.
Bank failures--Prevention--Econometric models.
Financial risk management--Econometric models.
BUSINESS & ECONOMICS / Finance.
Electronic books.
HG3881.5.I58
332.1