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  1. Understanding the performance of machine learning models to predict credit default
    a novel approach for supervisory evaluation
    Autor*in: Alonso, Andrés; Carbó, José Manuel
    Erschienen: 2021
    Verlag:  Banco de España, Madrid

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    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 2105
    Schlagworte: machine learning; credit risk; prediction; probability of default; IRB system
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. Credit allocation when private banks distribute government loans
    Autor*in: Ornelas, José Renato Haas; PedrazaI, Alvaro; Ruiz-OrtegaI, Claudia; Silva, Thiago Christiano
    Erschienen: [2021]
    Verlag:  Banco Central do Brasil, Brasília, DF, Brazil

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    Schriftenreihe: Working paper series / Banco Central do Brasil ; 548 (April 2021)
    Schlagworte: bank lending; government credit programs; credit risk; cross-selling strategies
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Is corporate credit risk propagated to employees?
    Autor*in: Correia, Filipe Peças; Cortes, Gustavo S.; Silva, Thiago Christiano
    Erschienen: [2021]
    Verlag:  Banco Central do Brasil, Brasília, DF, Brazil

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    Schriftenreihe: Working paper series / Banco Central do Brasil ; 551 (June 2021)
    Schlagworte: credit risk; default risk; employer-employee spillovers
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. Inflation risk and the finance-growth nexus
    Autor*in: Corhay, Alexandre; Tong, Jincheng
    Erschienen: [2021]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper shows that the effect of inflation on asset prices and real aggregates depends on the financial intermediation sector. When firms finance using nominal long-term debt issued by financial intermediaries, unexpected changes in inflation lead... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper shows that the effect of inflation on asset prices and real aggregates depends on the financial intermediation sector. When firms finance using nominal long-term debt issued by financial intermediaries, unexpected changes in inflation lead to a wealth transfer across sectors. Higher inflation decreases firms' real liabilities and default risk, which helps reduce debt overhang. However, it hurts intermediaries' balance sheet, leading to a contraction in credit. We show theoretically that the ultimate effect of inflation depends on the tightness of financing constraints in the intermediation sector. We find strong empirical evidence consistent with these results. We also show that an inflation policy responding to both financial and real variables can help stabilize our economy

     
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    Schriftenreihe: [Rotman School of Management working paper ; no. 3795679]
    Schlagworte: Inflation; asset prices; credit risk; debt deflation; financial intermediation; monetarypolicy; general equilibrium model; recursive preferences
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  5. Exploring the market risk profiles of U.S. and European life insurers
    Autor*in: Grochola, Nicolaus; Browne, Mark Joseph; Gründl, Helmut; Schlütter, Sebastian
    Erschienen: [2021]
    Verlag:  International Center for Insurance Regulation, Goethe University Frankfurt, Frankfurt am Main

    Market risks account for an integral part of life insurers' risk profiles. This paper explores the market risk sensitivities of insurers in two large life insurance markets, namely the U.S. and Europe. Based on panel regression models and daily... mehr

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    Market risks account for an integral part of life insurers' risk profiles. This paper explores the market risk sensitivities of insurers in two large life insurance markets, namely the U.S. and Europe. Based on panel regression models and daily market data from 2012 to 2018, we analyze the reaction of insurers' stock returns to changes in interest rates and CDS spreads of sovereign counterparties. We find that the influence of interest rate movements on stock returns is more than 50% larger for U.S. than for European life insurers. Falling interest rates reduce stock returns in particular for less solvent firms, insurers with a high share of life insurance reserves and unit-linked insurers. Moreover, life insurers' sensitivity to interest rate changes is seven times larger than their sensitivity towards CDS spreads. Only European insurers significantly su↵er from rising CDS spreads, whereas U.S. insurers are immunized against increasing sovereign default probabilities.

     
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    hdl: 10419/242963
    Schriftenreihe: ICIR working paper series ; no. 39 (2021)
    Schlagworte: Life insurance; interest rate risk; credit risk
    Umfang: 1 Online-Ressource (circa 48 Seiten)
  6. The future is today why truly long-term sovereign ratings are needed now
    Autor*in: Kraemer, Moritz
    Erschienen: [2021]
    Verlag:  CEPS, Brussels

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    Schriftenreihe: CEPS policy insights ; no 2021, 11 (September 2021)
    Schlagworte: credit risk; sovereign solvency; sovereign credit risks
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  7. Loan guarantees, bank lending and credit risk reallocation
    Autor*in: Altavilla, Carlo; Ellul, Andrew; Pagano, Marco; Polo, Andrea; Vlassopoulos, Thomas
    Erschienen: [2021]
    Verlag:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    We investigate whether government credit guarantee schemes, extensively used at the onset of the Covid-19 pandemic, led to substitution of non-guaranteed with guaranteed credit rather than fully adding to the supply of lending. We study this issue... mehr

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    We investigate whether government credit guarantee schemes, extensively used at the onset of the Covid-19 pandemic, led to substitution of non-guaranteed with guaranteed credit rather than fully adding to the supply of lending. We study this issue using a unique euro-area credit register data, matched with supervisory bank data, and establish two main findings. First, guaranteed loans were mostly extended to small but comparatively creditworthy firms in sectors severely affected by the pandemic, borrowing from large, liquid and well-capitalized banks. Second, guaranteed loans partially substitute pre-existing non-guaranteed debt. For firms borrowing from multiple banks, the substitution mainly arises from the lending behavior of the bank extending guaranteed loans. Substitution was highest for funding granted to riskier and smaller firms in sectors more affected by the pandemic, and borrowing from larger and stronger banks. Overall, the evidence indicates that government guarantees contributed to the continued extension of credit to relatively creditworthy firms hit by the pandemic, but also benefited banks’ balance sheets to some extent.

     
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    hdl: 10419/248407
    Schriftenreihe: CFS working paper series ; no. 672
    Schlagworte: loan guarantees; bank lending; COVID-19 pandemic; substitution; credit risk
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  8. Credit risk in a pandemic
    Autor*in: Byström, Hans N. E.
    Erschienen: 2021
    Verlag:  Department of Economics, School of Economics and Management, Lund University, Lund

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    Schriftenreihe: Working paper / Department of Economics, Lund University ; 2021, 1
    Schlagworte: credit risk; Covid-19; equity market; debt market; CDS; Merton model; Basel II
    Umfang: 1 Online-Ressource
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  9. The low-carbon transition, climate commitments and firm credit risk
    Autor*in: Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; Krämer, Johannes Sebastian; Nyholm, Ken; Vozian, Katia
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and... mehr

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    This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets, thereby providing a rich picture of firms' climate-related transition risk alongside their strategies to manage such risks. It then assesses how such climate-related metrics influence two key measures of firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with higher credit risk. But disclosing emissions and setting a forward-looking target to cut emissions are both associated with lower credit risk, with the effect of climate commitments tending to be stronger for more ambitious targets. After the Paris agreement, firms most exposed to climate transition risk also saw their ratings deteriorate whereas other comparable firms did not, with the effect larger for European than US firms, probably reflecting differential expectations around climate policy. These results have policy implications for corporate disclosures and strategies around climate change and the treatment of the climate-related transition risk faced by the financial sector.

     
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    ISBN: 9789289949187
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    hdl: 10419/249904
    Schriftenreihe: Working paper series / European Central Bank ; no 2631 (December 2021)
    Schlagworte: climate change; transition risk; disclosure; net zero; green finance; credit risk
    Umfang: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  10. Loan guarantees, bank lending and credit risk reallocation
    Autor*in: Altavilla, Carlo; Ellul, Andrew; Pagano, Marco; Polo, Andrea; Vlassopoulos, Thomas
    Erschienen: 15 November 2021
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16727
    Schlagworte: loan guarantees; bank lending; Covid-19 pandemic; substitution; credit risk
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  11. Female business owners pay higher interest rates on corporate loans
    Autor*in: Martinello, Alessandro Tang-Andersen; Mønsted, Bjarke; Matin, Rastin; Steffensen, Sigurd Anders Muus; Holm Laursen, Karen
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We analyze micro-level data from the Danish credit register and find that female business owners pay higher interest rates on corporate loans than male owners. The gender gap is partly explained by differences in firm and loan characteristics.... mehr

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    We analyze micro-level data from the Danish credit register and find that female business owners pay higher interest rates on corporate loans than male owners. The gender gap is partly explained by differences in firm and loan characteristics. However, an economically and statistically significant gap persists even after flexible machine learning techniques are applied to the data. While the gender gap most likely arises during the negotiation process, we do not find that it depends on market power or the extent to which banks use data-driven approaches to determine interest rates.

     
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    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 179 (25 June 2021)
    Schlagworte: Financial sector; changes in interest rates; credit risk; statistical methods
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  12. Government support schemes during the Covid-19 pandemic have had a dampening effect on corporate credit risk
    Autor*in: Hjelseth, Ida Nervik; Solheim, Haakon; Vatne, Bjørn Helge
    Erschienen: [2021]
    Verlag:  Norges Bank, Oslo

    After the Covid-19 pandemic broke out, the authorities have introduced a number of measures aimed at the business sector. Support has largely been given to the sectors hardest hit by the pandemic and measures to contain it. A considerable share of... mehr

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    After the Covid-19 pandemic broke out, the authorities have introduced a number of measures aimed at the business sector. Support has largely been given to the sectors hardest hit by the pandemic and measures to contain it. A considerable share of banks' loan customers in these sectors have received support from one or more of these schemes. This has likely had a dampening effect on banks' credit loss risk.

     
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    Quelle: Verbundkataloge
    Sprache: Norwegisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9788283791860
    Weitere Identifier:
    hdl: 11250/2755871
    hdl: 10419/246159
    Schriftenreihe: Staff memo / Norges Bank ; no. 2021, 3
    Schlagworte: Covid-19; coronavirus; pandemic; support schemes; support measures; business sector; credit risk; financial stability
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  13. Estimates of banks' losses on loans to the corporate sector
    Autor*in: Hjelseth, Ida Nervik; Arbatli, Elif; Solheim, Haakon; Vatne, Bjørn Helge
    Erschienen: [2020]
    Verlag:  Norges Bank, Oslo

    Loans to non-financial enterprises are the main source of banks' losses. Analyses of banks' losses on corporate loans are therefore important in the assessment of financial stability. This paper presents Norges Bank's framework for estimating losses... mehr

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    Loans to non-financial enterprises are the main source of banks' losses. Analyses of banks' losses on corporate loans are therefore important in the assessment of financial stability. This paper presents Norges Bank's framework for estimating losses on corporate loans built up from microdata for each firm and loan in each bank. Losses are estimated using a stepwise process. First, we estimate revenue developments at industry level and simulate the effect on firms' future financial statements. This is then used to project firms' bankruptcy probabilities using Norges Bank's bankruptcy probability model (KOSMO). Finally, the bankruptcy probabilities are linked to data on banks' exposures and credit losses are estimated. The estimates will be included in Norges Bank's assessment of vulnerabilities and risks in the Norwegian banking system. In addition to being included in a general risk assessment, the framework can be used in stress testing and in the assessment of new areas of risk, such as climate risk.

     
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    ISBN: 9788283791730
    Weitere Identifier:
    hdl: 11250/2722948
    hdl: 10419/246154
    Schriftenreihe: Staff memo / Norges Bank ; nr. 2020, 10
    Schlagworte: Kreditgeschäft; Unternehmensfinanzierung; Insolvenz; Bankrisiko; Norwegen; credit risk; bankruptcy probability; credit losses; bank losses
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  14. Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves
    Autor*in: Basten, Christoph; Mariathasan, Mike
    Erschienen: 2020
    Verlag:  Swiss Finance Institute, Geneva

    We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates. Second, banks’ ability to offset negative deposit margins with increased mortgage margins is shown to depend on market power. Third, imposing negative rates on all central bank reserves causes banks to replace one sixth with riskier assets, and cut another sixth without replacement, shortening their balance sheets. Together with increased mortgage margins and fee income, the asset replacement preserves profits, but increases financial stability risks. Fourth, mortgage margin increases, balance sheet contractions and risk increases differ from positive rate policy. Fifth, the interruption in pass-through and the risks to financial stability can be reduced by up to 90% through tiered remuneration, charging marginal reserves only

     
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    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 20, 98
    Schlagworte: negative interest rate policy; tiered remuneration; interest rate pass-through; credit risk; interest rate risk
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  15. COVID-19, credit risk and macro fundamentals
    Autor*in: Dubinova, Anna; Lucas, André; Telg, Sean
    Erschienen: [2021]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that... mehr

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    COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in economic activity in the first lockdowns. We argue that this break in the macro-credit linkage is less affected if we take an unobserved components modeling framework, both at shorter and longer credit risk horizons. An additional advantage of these models is that they automatically provide an integrated forecasting approach for both the credit and macro variables in the model. An effort to repair the macro-credit link via the addition of government subsidy expenses, though better in-sample, provides a worse fit to credits if implemented pre-covid.

     
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    hdl: 10419/237792
    Schriftenreihe: Array ; TI 2021, 059
    Schlagworte: COVID-19; credit risk; macro fundamentals; frailty factors; dynamic latent factors
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  16. Sovereign credit and exchange rate risks
    evidence from Asia-Pacific local currency bonds
    Autor*in: Chernov, Mikhail; Creal, Drew; Hördahl, Peter
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 918 (January 2021)
    Schlagworte: emerging bond markets; credit risk; currency risk; Twin Ds; affine model
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  17. Can we take the "stress" out of stress testing?
    applications of generalized structural equation modeling to consumer finance
    Autor*in: Canals-Cerdá, José J.
    Erschienen: January 2021
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Schriftenreihe: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 21, 01 (January 2021)
    Schlagworte: GSEM; stress test; CCAR; CECL; credit risk; regulatory capital; allowances; mortgages
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  18. Flight to liquidity or safety?
    recent evidence from the municipal bond market
    Autor*in: Bi, Huixin; Marsh, W. Blake
    Erschienen: 2020
    Verlag:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    Schriftenreihe: KcFED research working papers ; RWP 20, 19 (December 2020)
    Schlagworte: municipal bonds; credit risk; fiscal and monetary policy
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  19. Recovery process optimization using survival regression
    Autor*in: Witzany, Jiří; Kozina, Anastasiia
    Erschienen: 2020
    Verlag:  Faculty of Finance and Accounting, University of Economics, Prague

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    Schriftenreihe: FFA Working Papers ; 2020, 4
    Schlagworte: credit risk modelling; survival analysis; scoring; receivables; debt recovery; collection; retail banking; credit risk
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  20. Machine learning in credit risk
    measuring the dilemma between prediction and supervisory cost
    Autor*in: Alonso, Andrés; Carbó, José Manuel
    Erschienen: 2020
    Verlag:  Banco de España, Madrid

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    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 2032
    Schlagworte: artificial intelligence; machine learning; credit risk; interpretability; bias; IRB models
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  21. Modelling credit risk
    evidence for EMV methodology on Portuguese mortgage data
    Autor*in: Borges, Maria Rosa; Machado, Raquel
    Erschienen: [2020]
    Verlag:  ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, Lisbon

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    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10400.5/20884
    Schriftenreihe: Working papers / ISEG, Lisbon School of Economics & Management, Department of Economics ; WP 2020, 03 DE/UECE
    Schlagworte: credit risk; EMV models; mortgage loans; default rates; vintages
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  22. Loan guarantees, bank lending and credit risk reallocation
    Autor*in: Altavilla, Carlo; Ellul, Andrew; Pagano, Marco; Polo, Andrea; Vlassopoulo, Thomas
    Erschienen: [2021]
    Verlag:  EIEF, Einaudi Institute for Economics and Finance, [Rom]

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    Schriftenreihe: EIEF working paper ; 21, 13 (November 2021)
    Schlagworte: loan guarantees; bank lending; COVID-19 pandemic; substitution; credit risk
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  23. Investment response to monetary policy in a low interest rate environment
    evidence from the ECB's corporate QE
    Autor*in: Horny, Guillaume; Kapoor, Supriya
    Erschienen: [2021]
    Verlag:  Trinity College Dublin, Department of Economics, Dublin

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    Schriftenreihe: TEP working paper ; no. 21, 11 (October 2021)
    Schlagworte: CSPP; bond issuances; monetary policy; credit risk; investment
    Umfang: 1 Online-Ressource (circa Seiten)
  24. Interest on reserves as a main monetary policy tool
    Autor*in: Bratsiotis, George
    Erschienen: June 2021
    Verlag:  School of Social Sciences, The University of Manchester, Manchester

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    Auflage/Ausgabe: Updated
    Schriftenreihe: Economics discussion paper series / The University of Manchester ; EDP-21, 02
    Schlagworte: Interest on reserves; monetary policy; excess reserves; credit risk; balance sheet; Euler equation; welfare; zero lower bound
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  25. Bank opacity - patterns and implications
    Autor*in: Avdjiev, Stefan; Jager, Maximilian
    Erschienen: 2022
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Format: Online
    Schriftenreihe: BIS working papers ; no 992 (January 2022)
    Schlagworte: bank opacity; asymmetric information; event study; credit risk; asset markets
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen