Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Caren Yinxia Nielsen"'
Publikováno v:
European Financial Management. 25:1229-1248
A simple portfolio choice model shows that, when a bank's capital is constrained by regulation, regulatory cost (risk weightings) alters the risk and value calculations for the bank's assets. In particular, we find that banks may respond to stricter
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b95e1d1cb9f8bd3fd58f3f803a1a3b8a
https://doi.org/10.1111/eufm.12205
https://doi.org/10.1111/eufm.12205
Autor:
Lars Ohnemus, Caren Yinxia Nielsen
Publikováno v:
SSRN Electronic Journal.
Since the 2008-09 global financial crisis, banks are criticized for levering up their balance sheets to reach for return on equity (ROE) target. We conduct the first systematic study on banks' actual practice of targeting ROE, based on a unique hand-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a872c22cb8eaafd04e04d94b51be1b68
https://doi.org/10.2139/ssrn.3265180
https://doi.org/10.2139/ssrn.3265180
Publikováno v:
SSRN Electronic Journal.
We develop a model of credit-portfolio optimization and study the impact of risk-based capital regulation on banks' asset allocations. From the model, it is apparent that, when a bank’s capital is constrained by regulation, regulatory cost (risk we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a67392ba4523c5309b80664c5fb23927
https://doi.org/10.2139/ssrn.2674236
https://doi.org/10.2139/ssrn.2674236
Autor:
Jens Forssbæck, Caren Yinxia Nielsen
Publikováno v:
SSRN Electronic Journal.
We examine the moral hazard effects of bank recapitalizations by assessing the impact of the U.S. TARP program on market discipline exerted by subordinated debt-holders using a sample of 123 bank holding companies over the period 2004-2013. Predicted
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3862d55ba363fa9c1a14aa8f37f7a802
https://doi.org/10.2139/ssrn.2674544
https://doi.org/10.2139/ssrn.2674544
Autor:
Caren Yinxia Nielsen
Publikováno v:
SSRN Electronic Journal.
We disentangle the complexity of the distress risk premium in stock returns using the risk-neutral measure of credit risk (valued by CDS spread) and investigate the relation between credit risk and the market beta, size, value, and momentum effects.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85fd3b4bc4590a2443b1764ee8c6d5f1
https://doi.org/10.2139/ssrn.1954677
https://doi.org/10.2139/ssrn.1954677