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  1. Asset encumbrance in euro area banks
    analysing trends, drivers and prediction properties for individual bank crises
    Autor*in: Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica; Jager, Kirsten; Kick, Heinrich; Lanciani, Marcello; Schneider, Ludwig; Schwarz, Claudia; Siakoulis, Vasileios; Vroege, Robert
    Erschienen: [August 2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance,... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 535
    Fernleihe:
    keine Fernleihe

     

    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those national competent authorities working on the topic. First, we describe how asset encumbrance has evolved in euro area banks, focusing on country and business model aggregates. Second, we conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we turn our focus to the asset encumbrance dynamics of banks that have experienced a crisis. The outcome of this event study analysis indicates that asset encumbrance increases in the lead-up to a crisis, partly to offset early deposit outflows. Building on these findings, we show that asset encumbrance indicators carry predictive information for bank-specific crises as part of a multivariate early warning model.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945660
    Weitere Identifier:
    hdl: 10419/246192
    Schriftenreihe: Occasional paper series / European Central Bank ; no 261 (August 2021)
    Schlagworte: asset encumbrance; liquidity; bank funding; collateral; bank crisis; early warning model; panel econometrics
    Umfang: 1 Online-Ressource (73 Seiten), Illustrationen
  2. Asset encumbrance in euro area banks
    analysing trends, drivers and prediction properties for individual bank crises
    Autor*in: Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica; Jager, Kirsten; Kick, Heinrich; Lanciani, Marcello; Schneider, Ludwig; Schwarz, Claudia; Siakoulis, Vasileios; Vroege, Robert
    Erschienen: [August 2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance,... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

     

    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those national competent authorities working on the topic. First, we describe how asset encumbrance has evolved in euro area banks, focusing on country and business model aggregates. Second, we conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we turn our focus to the asset encumbrance dynamics of banks that have experienced a crisis. The outcome of this event study analysis indicates that asset encumbrance increases in the lead-up to a crisis, partly to offset early deposit outflows. Building on these findings, we show that asset encumbrance indicators carry predictive information for bank-specific crises as part of a multivariate early warning model.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945660
    Weitere Identifier:
    hdl: 10419/246192
    Schriftenreihe: Occasional paper series / European Central Bank ; no 261 (August 2021)
    Schlagworte: asset encumbrance; liquidity; bank funding; collateral; bank crisis; early warning model; panel econometrics
    Umfang: 1 Online-Ressource (73 Seiten), Illustrationen