Coverart for item
The Resource Bank Solvency and Funding Cost : New data and new results, by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama

Bank Solvency and Funding Cost : New data and new results, by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama

Label
Bank Solvency and Funding Cost : New data and new results
Title
Bank Solvency and Funding Cost
Title remainder
New data and new results
Statement of responsibility
by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama
Creator
Contributor
Subject
Language
eng
Summary
This paper presents new evidence on the empirical relationship between bank solvency and funding costs. Building on a newly constructed dataset drawing on supervisory data for 54 large banks from six advanced countries over 2004-2013, we use a simultaneous equation approach to estimate the contemporaneous interaction between solvency and liquidity. Our results show that liquidity and solvency interactions can be more material than suggested by the existing empirical literature. A 100 bps increase in regulatory capital ratios is associated with a decrease of bank funding costs of about 105 bps. A 100 bps increase in funding costs reduces regulatory capital buffers by 32 bps. We also find evidence of non-linear effects between solvency and funding costs. Understanding the impact of solvency on funding costs is particularly relevant for stress testing. Our analysis suggests that neglecting the dynamic features of the solvency-liquidity nexus in the 2014 EU-wide stress test could have led to a significant underestimation of the impact of stress on bank capital ratios
Member of
http://library.link/vocab/creatorName
Schmitz, Stefan W.,
Dewey number
332.1
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Sigmund, Michael,
  • Valderrama, Laura,
Series statement
IMF working paper
Series volume
WP/17/116
http://library.link/vocab/subjectName
  • Banks and banking
  • Bank failures
  • Financial risk management
Label
Bank Solvency and Funding Cost : New data and new results, by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • 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
Control code
ocn989715875
Dimensions
unknown
Extent
1 online resource (47)
Form of item
online
Isbn
9781484300664
Note
eBooks on EBSCOhost
Specific material designation
remote
System control number
(OCoLC)989715875
Label
Bank Solvency and Funding Cost : New data and new results, by Stefan W. Schmitz, Michael Sigmund, and Laura Valderrama
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • 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
Control code
ocn989715875
Dimensions
unknown
Extent
1 online resource (47)
Form of item
online
Isbn
9781484300664
Note
eBooks on EBSCOhost
Specific material designation
remote
System control number
(OCoLC)989715875

Library Locations

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