Business models of banks, leverage and the distance-to-default:
This study models the distance-to-default (DTD) of a large sample of banks with the aim of shedding light on policy and regulatory issues. The determinants of the distance-to-default in a panel sample of 94 banks over the period 2004 to 2011, controlling for the market beta of each bank, includes ho...
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| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
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Paris
OECD Publishing
2013
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Zusammenfassung: | This study models the distance-to-default (DTD) of a large sample of banks with the aim of shedding light on policy and regulatory issues. The determinants of the distance-to-default in a panel sample of 94 banks over the period 2004 to 2011, controlling for the market beta of each bank, includes house prices, relative size, simple leverage, derivatives gross market value of exposure, trading assets, wholesale funding and cross-border revenue. The Basel Tier 1 ratio finds no support as a predictor of default risk. The un-weighted leverage ratio, on the other hand, finds strong support. At the macro level house prices are a powerful predictor of the DTD. At the business model level, the results appear to be consistent with an approach to policy that focuses on the apparent importance of the "size-derivativesleverage- wholesale funding nexus" in influencing the DTD of banks. While these results are preliminary, it is encouraging that the out-of-sample predictive power of the model improves systematically as each year of new observations is added. The results are also consistent with some central bank involvement in the supervision process, given the importance of the asset price cycle, identified in this study |
| Beschreibung: | 1 Online-Ressource (28 Seiten) 21 x 28cm |
| DOI: | 10.1787/fmt-2012-5k4bxlxbd646 |
Internformat
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Datensatz im Suchindex
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| author | Blundell-Wignall, Adrian |
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| id | DE-604.BV047939434 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:35:10Z |
| indexdate | 2024-11-07T19:02:53Z |
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| language | English |
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| spelling | Blundell-Wignall, Adrian Verfasser aut Business models of banks, leverage and the distance-to-default Adrian Blundell-Wignall and Caroline Roulet Paris OECD Publishing 2013 1 Online-Ressource (28 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This study models the distance-to-default (DTD) of a large sample of banks with the aim of shedding light on policy and regulatory issues. The determinants of the distance-to-default in a panel sample of 94 banks over the period 2004 to 2011, controlling for the market beta of each bank, includes house prices, relative size, simple leverage, derivatives gross market value of exposure, trading assets, wholesale funding and cross-border revenue. The Basel Tier 1 ratio finds no support as a predictor of default risk. The un-weighted leverage ratio, on the other hand, finds strong support. At the macro level house prices are a powerful predictor of the DTD. At the business model level, the results appear to be consistent with an approach to policy that focuses on the apparent importance of the "size-derivativesleverage- wholesale funding nexus" in influencing the DTD of banks. While these results are preliminary, it is encouraging that the out-of-sample predictive power of the model improves systematically as each year of new observations is added. The results are also consistent with some central bank involvement in the supervision process, given the importance of the asset price cycle, identified in this study Finance and Investment Roulet, Caroline ctb https://doi.org/10.1787/fmt-2012-5k4bxlxbd646 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Blundell-Wignall, Adrian Business models of banks, leverage and the distance-to-default Finance and Investment |
| title | Business models of banks, leverage and the distance-to-default |
| title_auth | Business models of banks, leverage and the distance-to-default |
| title_exact_search | Business models of banks, leverage and the distance-to-default |
| title_exact_search_txtP | Business models of banks, leverage and the distance-to-default |
| title_full | Business models of banks, leverage and the distance-to-default Adrian Blundell-Wignall and Caroline Roulet |
| title_fullStr | Business models of banks, leverage and the distance-to-default Adrian Blundell-Wignall and Caroline Roulet |
| title_full_unstemmed | Business models of banks, leverage and the distance-to-default Adrian Blundell-Wignall and Caroline Roulet |
| title_short | Business models of banks, leverage and the distance-to-default |
| title_sort | business models of banks leverage and the distance to default |
| topic | Finance and Investment |
| topic_facet | Finance and Investment |
| url | https://doi.org/10.1787/fmt-2012-5k4bxlxbd646 |
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