Capital Structure And Risk Dynamics Among Banks
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| Author | : Keegan Floquet |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 280 |
| Release | : 2011-03 |
| Genre | : |
| ISBN | : 9783844312058 |
In an attempt to restore banking stability and safety during the 1980's, bank regulators typically introduced explicit minimum capital regulation to increase capital ratios and moderate risk-taking. The effects of bank regulation on the capital and risk levels of banks are not always as intended; in some cases, promoting moral hazard behaviour and further increasing the probability of insolvency. Some of these effects were at the roots of the Global Financial Crisis. This book aims to explore in greater detail the relationship between capital and risk, the reasons for this relationship and why this relationship in emerging market banks may differ from that of banks in developed markets. A comprehensive analysis of corporate financial theory relating to capital and risk are carried out and form the theoretical basis of this study.
| Author | : Mr.Alberto M. Ramos |
| Publisher | : International Monetary Fund |
| Total Pages | : 55 |
| Release | : 1998-08-01 |
| Genre | : Business & Economics |
| ISBN | : 1451854358 |
This paper constructs a theoretical framework that rationalizes banks’ short- and long-run adjustment dynamics—in portfolio composition and in the capital structure—following a period of financial distress. The model captures stylized facts about banks’ behavior following a shock to the capital base—namely, the rush to liquidity and credit crunch. Bank panel data show that Argentine domestic retail banks underwent a period of adjustment of six quarters following the Mexican devaluation crisis, reducing their risk-exposure since, owing to bank capital scarcity, depositors became less prone to tolerate bank default risk. Foreign-owned banks suffered a milder shock and adjusted immediately.
| Author | : Santiago Moreno-Bromberg |
| Publisher | : Princeton University Press |
| Total Pages | : 223 |
| Release | : 2018-01-08 |
| Genre | : Business & Economics |
| ISBN | : 0691176523 |
Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.
| Author | : H. Kent Baker |
| Publisher | : John Wiley & Sons |
| Total Pages | : 504 |
| Release | : 2011-03-31 |
| Genre | : Business & Economics |
| ISBN | : 1118022947 |
A comprehensive guide to making better capital structure and corporate financing decisions in today's dynamic business environment Given the dramatic changes that have recently occurred in the economy, the topic of capital structure and corporate financing decisions is critically important. The fact is that firms need to constantly revisit their portfolio of debt, equity, and hybrid securities to finance assets, operations, and future growth. Capital Structure and Corporate Financing Decisions provides an in-depth examination of critical capital structure topics, including discussions of basic capital structure components, key theories and practices, and practical application in an increasingly complex corporate world. Throughout, the book emphasizes how a sound capital structure simultaneously minimizes the firm's cost of capital and maximizes the value to shareholders. Offers a strategic focus that allows you to understand how financing decisions relates to a firm's overall corporate policy Consists of contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Contains information from survey research describing actual financial practices of firms This valuable resource takes a practical approach to capital structure by discussing why various theories make sense and how firms use them to solve problems and create wealth. In the wake of the recent financial crisis, the insights found here are essential to excelling in today's volatile business environment.
| Author | : P. Molyneux |
| Publisher | : Springer |
| Total Pages | : 314 |
| Release | : 2015-12-11 |
| Genre | : Business & Economics |
| ISBN | : 0230313876 |
This text comprises a selection of papers that provide state of the art insights into bank performance, risk and firm financing post crisis that were presented at the European Association of University Teachers of Banking and Finance Conference (otherwise known as the Wolpertinger Conference) held at Bangor University, Wales, 2010.
| Author | : Yassine Bakkar |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
| Author | : Yamini Agarwal |
| Publisher | : John Wiley & Sons |
| Total Pages | : 208 |
| Release | : 2013-03-29 |
| Genre | : Business & Economics |
| ISBN | : 111820316X |
Inside the risk management and corporate governance issues behind capital structure decisions Practical ways of determining capital structures have always been mysterious and riddled with risks and uncertainties. Dynamic paradigm shifts and the multi-dimensional operations of firms further complicate the situation. Financial leaders are under constant pressure to outdo their competitors, but how to do so is not always clear. Capital Structure Decisions offers an introduction to corporate finance, and provides valuable insights into the decision-making processes that face the CEOs and CFOs of organizations in dynamic multi-objective environments. Exploring the various models and techniques used to understand the capital structure of an organization, as well as the products and means available for financing these structures, the book covers how to develop a goal programming model to enable organization leaders to make better capital structure decisions. Incorporating international case studies to explain various financial models and to illustrate ways that capital structure choices determine their success, Capital Structure Decisions looks at existing models and the development of a new goal-programming model for capital structures that is capable of handling multiple objectives, with an emphasis throughout on mitigating risk. Helps financial leaders understand corporate finance and the decision-making processes involved in understanding and developing capital structure Includes case studies from around the world that explain key financial models Emphasizes ways to minimize risk when it comes to working with capital structures There are a number of criteria that financial leaders need to consider before making any major capital investment decision. Capital Structure Decisions analyzes the various risk management and corporate governance issues to be considered by any diligent CEO/CFO before approving a project.
| Author | : Alberto Ramos |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
This paper constructs a theoretical framework that rationalizes banks` short- and long-run adjustment dynamics in portfolio composition and in the capital structure following a period of financial distress. The model captures stylized facts about banks` behavior following a shock to the capital base namely, the rush to liquidity and credit crunch. Bank panel data show that Argentine domestic retail banks underwent a period of adjustment of six quarters following the Mexican devaluation crisis, reducing their risk-exposure since, owing to bank capital scarcity, depositors became less prone to tolerate bank default risk. Foreign-owned banks suffered a milder shock and adjusted immediately.
| Author | : Michael B. Imerman |
| Publisher | : |
| Total Pages | : 136 |
| Release | : 2011 |
| Genre | : Bank capital |
| ISBN | : |
This dissertation uses structural credit risk models to analyze banking institutions during the recent Financial crisis. The first essay proposes a dynamic approach to estimating bank capital requirements with a structural credit risk model. The model highlights the fact that static measures of capital adequacy, such as a fixed percentage of assets, do not capture the true condition of a financial institution. Rather, a dynamic approach that is forward-looking and tied to market conditions is more appropriate in setting capital requirements. Furthermore, the structural credit risk model demonstrates how market information and the liability structure can be used to compute default probabilities, which can then be used as a point of reference for setting capital requirements. The results indicate that capital requirements may be time-varying and conditional upon the health of the particular bank and the financial system as a whole. The second essay develops a structural credit risk model for computing a term-structure of default probabilities for a financial institution. The model uses current market data and the complete debt structure of the financial institution. It incorporates an endogenous default boundary in a generalized binomial lattice framework. This framework is flexible and easily permits alternate capital structure policy assumptions; for example, it can allow for the possibilities of funding maturing debt with new debt, new equity, or a mix of debt and equity. The model is implemented to analyze Lehman Brothers in the midst of the 2008 financial crisis and develop estimates of default probability under these alternate capital structure policy assumptions. The assumptions result in different levels of default probability but all predict higher default probabilities in March of 2008, well before Lehman's bankruptcy in September of 2008. In addition to being used in a descriptive capacity, the model can be used for prescriptive purposes. The lower-bound default probabilities assume de-leveraging by the financial institution and can be used to indicate when debt should be retired with new equity rather than being rolled-over.
| Author | : Vanessa Le Leslé |
| Publisher | : International Monetary Fund |
| Total Pages | : 50 |
| Release | : 2012-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1475502656 |
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
