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001    ocn989715875 
003    OCoLC 
005    20181019033942.2 
006    m     o  d         
007    cr |n||||||||| 
008    170609s2017    dcu     ob    001 0 eng d 
019    989051853|a992690125 
020    1484300904|q(electronic book) 
020    9781484300909|q(electronic book) 
020    1484300661 
020    9781484300664 
024 7  10.5089/9781484300664.001|2doi 
035    (OCoLC)989715875|z(OCoLC)989051853|z(OCoLC)992690125 
037    1013872|bMIL 
040    IDEBK|beng|epn|cIDEBK|dEBLCP|dMERUC|dYDX|dOCLCQ|dIDEBK
       |dWRM|dN$T|dCUY|dCEF|dOTZ 
049    RIDW 
050  4 HG3881.5.I58 
072  7 BUS|x027000|2bisacsh 
082 04 332.1|223 
090    HG3881.5.I58 
100 1  Schmitz, Stefan W.,|eauthor. 
245 10 Bank Solvency and Funding Cost :|bNew data and new results
       /|cby Stefan W. Schmitz, Michael Sigmund, and Laura 
       Valderrama. 
264  1 Washington, D.C. :|bInternational Monetary Fund,|c2017. 
300    1 online resource (47). 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
347    text file|2rdaft 
490 1  IMF working paper ;|vWP/17/116 
504    Includes bibliographical references and index. 
505 0  Cover; CONTENTS; I. Introduction; II. Related Literature; 
       III. The Relation Between Solvency Risk and Funding Costs;
       A. Construction of a New Dataset; B.A Simultaneous 
       Equation Approach; IV. Estimation Results; V. Robustness 
       Checks; A. Introducing a Market-based Measure of Bank 
       Solvency; B. Introducing a Measure of Liquidity Risk; VI. 
       Application to Stress Testing; VII. Summary and 
       Conclusions; References; Figures; 1. Cross-sectional 
       Distribution of Bank Solvency and Funding Costs; 2. 
       Evolution of Bank Solvency and Funding Costs; 3. 
       Decomposition of Impact on CET1-2014 EBA Stress Test. 
505 8  Tables1. Data Coverage; 2. Summary Statistics of the 
       Dependent and Independent Variables; 3. Cross-Correlation 
       Matrix of the Dependent and Independent Variables; 4. Bank
       Regulatory Capital and Funding Costs; 5. Test Results for 
       Bank Regulatory Capital and Funding Costs; 6. Market-Based
       Bank Solvency and Funding Costs; 7. Test Results for 
       Market-Based Bank Solvency and Funding Costs; 8. Bank 
       Regulatory Capital and Funding Costs (Controlling for 
       Liquidity Risk); 9. Test Results for Bank Regulatory 
       Capital and Funding Costs (Controlling for Liquidity 
       Risk). 
505 8  10. Market-Based Bank Solvency and Funding Costs 
       (Controlling for Liquidity Risk)11. Test Results for 
       Market-Based Bank Solvency and Funding Costs (Controlling 
       for Liquidity Risk); 12. Bank Regulatory Capital and 
       Funding Costs (OLS Estimation); 13. Market-Based Bank 
       Solvency and Funding Costs (OLS Estimation); 14. Impact of
       Bank Solvency and Funding Cost Interaction-2014 EBA Stress
       Test. 
520 3  This paper presents new evidence on the empirical 
       relationship between bank solvency and funding costs. 
       Building on a newly constructed dataset drawing on 
       supervisory data for 54 large banks from six advanced 
       countries over 2004-2013, we use a simultaneous equation 
       approach to estimate the contemporaneous interaction 
       between solvency and liquidity. Our results show that 
       liquidity and solvency interactions can be more material 
       than suggested by the existing empirical literature. A 100
       bps increase in regulatory capital ratios is associated 
       with a decrease of bank funding costs of about 105 bps. A 
       100 bps increase in funding costs reduces regulatory 
       capital buffers by 32 bps. We also find evidence of non-
       linear effects between solvency and funding costs. 
       Understanding the impact of solvency on funding costs is 
       particularly relevant for stress testing. Our analysis 
       suggests that neglecting the dynamic features of the 
       solvency-liquidity nexus in the 2014 EU-wide stress test 
       could have led to a significant underestimation of the 
       impact of stress on bank capital ratios. 
588 0  Print version record. 
590    eBooks on EBSCOhost|bEBSCO eBook Subscription Academic 
       Collection - North America 
650  0 Banks and banking|0https://id.loc.gov/authorities/subjects
       /sh85011609|xRisk management|0https://id.loc.gov/
       authorities/subjects/sh2004006348|xEconometric models.
       |0https://id.loc.gov/authorities/subjects/sh99005483 
650  0 Bank failures|0https://id.loc.gov/authorities/subjects/
       sh85011569|xPrevention|0https://id.loc.gov/authorities/
       subjects/sh99002416|xEconometric models.|0https://
       id.loc.gov/authorities/subjects/sh99005483 
650  0 Financial risk management|0https://id.loc.gov/authorities/
       subjects/sh2005007073|xEconometric models.|0https://
       id.loc.gov/authorities/subjects/sh99005483 
650  7 Banks and banking.|2fast|0https://id.worldcat.org/fast/
       826867 
650  7 Risk management.|2fast|0https://id.worldcat.org/fast/
       1098164 
650  7 Econometric models.|2fast|0https://id.worldcat.org/fast/
       901567 
650  7 Bank failures.|2fast|0https://id.worldcat.org/fast/826658 
650  7 Financial risk management.|2fast|0https://id.worldcat.org/
       fast/1739657 
655  4 Electronic books. 
700 1  Sigmund, Michael,|eauthor. 
700 1  Valderrama, Laura,|0https://id.loc.gov/authorities/names/
       no2007060954|eauthor. 
776 08 |iPrint Version:|aSchmitz, Stefan W.|tBank Solvency and 
       Funding Cost: New Data and New Results.|dWashington, D.C. 
       : International Monetary Fund,2017|z9781484300664 
830  0 IMF working paper ;|0https://id.loc.gov/authorities/names/
       no89010263|vWP/17/16. 
856 40 |uhttps://rider.idm.oclc.org/login?url=http://
       search.ebscohost.com/login.aspx?direct=true&scope=site&
       db=nlebk&AN=1529342|zOnline eBook. Access restricted to 
       current Rider University students, faculty, and staff. 
856 42 |3Instructions for reading/downloading the EBSCO version 
       of this eBook|uhttp://guides.rider.edu/ebooks/ebsco 
901    MARCIVE 20231220 
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994    92|bRID