Whose Credit Line is it Anyway : : An Update on Banks' Implicit Subsidies / / Tryggvi Gudmundsson
(Visualizza in formato marc)
(Visualizza in BIBFRAME)
| Autore: |
Gudmundsson Tryggvi
|
| Titolo: |
Whose Credit Line is it Anyway : : An Update on Banks' Implicit Subsidies / / Tryggvi Gudmundsson
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2016 |
| Descrizione fisica: | 1 online resource (26 pages) : illustrations, tables |
| Disciplina: | 332.15 |
| Soggetto topico: | Loans, Foreign |
| Banks and Banking | |
| Financial Risk Management | |
| Investments: Stocks | |
| Macroeconomics | |
| Industries: Financial Services | |
| Contingent Pricing | |
| Futures Pricing | |
| option pricing | |
| Banks | |
| Depository Institutions | |
| Micro Finance Institutions | |
| Mortgages | |
| Financial Institutions and Services: Government Policy and Regulation | |
| Taxation, Subsidies, and Revenue: General | |
| Financial Crises | |
| Price Level | |
| Inflation | |
| Deflation | |
| Pension Funds | |
| Non-bank Financial Institutions | |
| Financial Instruments | |
| Institutional Investors | |
| International Financial Markets | |
| Financial Institutions and Services: General | |
| Economic & financial crises & disasters | |
| Banking | |
| Investment & securities | |
| Finance | |
| Financial crises | |
| Asset prices | |
| Stocks | |
| Asset valuation | |
| Prices | |
| Financial institutions | |
| Asset and liability management | |
| Global systemically important banks | |
| Banks and banking | |
| Asset-liability management | |
| Financial services industry | |
| Option pricing | |
| Soggetto geografico: | United States |
| Nota di bibliografia: | Includes bibliographical references. |
| Sommario/riassunto: | The post-crisis financial sector framework reform remains incomplete. While capital and liquidity requirements have been strengthened, doubts remain over other aspects, including the fact that expectations of government support for systemically-important banks (SIBs) remain intact. In this paper, we use a jump diffusion option-pricing approach to provide estimates of implicit subsidies gained by these banks due to the expectation of protection to creditors provided by governments. While these subsidies have declined in the post-crisis era as volatility has declined and capital levels have increased, they remain non-trivial. Even conservative parameterizations of default and loss probabilities lead to macroeconomically significant figures. |
| Titolo autorizzato: | Whose credit line is it anyway |
| ISBN: | 1-4755-5472-9 |
| 1-4755-5480-X | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910155013503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2016/224