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See detailHealing through Liquidity Injections ?
Rasmouki, Fanou UL

E-print/Working paper (2015)

The unprecedentedly high borrowing costs of banks along with the armada of interventions by the ECB and kin institutions to prevent a financial haemorrhage underpin the motivation of this paper to re ... [more ▼]

The unprecedentedly high borrowing costs of banks along with the armada of interventions by the ECB and kin institutions to prevent a financial haemorrhage underpin the motivation of this paper to re-visit the connection between default probabilities à la Merton and borrowing costs for a sample of large European banks. In doing so, the paper also investigates the ramifications of the ECB’s interventions on the health of the banking system. Furthermore, and building on Merton’s model, it proposes a simple measure of credit spreads that accounts for the nature of the credit risk profile of large financial institutions. The findings are unequivocal and suggest that higher default probabilities significantly explain the deteriorating ability of banks to borrow from the financial markets. More importantly, there is an increase in the degree to which default probabilities explain borrowing costs when policy measures undertaken by the ECB are incorporated. Conversely, the effect of the liquidity interventions is ambivalent: While liquidity measures directed towards the banking system have a curing effect on the borrowing costs of banks, those related to sovereigns seemingly have an impeding effect. [less ▲]

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See detailCDS Contracts versus Put Options: A robust relationship?
Bekkour, Lamia UL; Lehnert, Thorsten UL; Desimone, Francisco Nadal et al

E-print/Working paper (2014)

Detailed reference viewed: 66 (8 UL)
See detailGriechenland und die Euro-Stabilität,
Bekkour, Lamia UL; Rasmouki, Fanou UL

Diverse speeches and writings (2012)

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See detailCredit 2012
Rasmouki, Fanou UL

Scientific Conference (2012, September 27)

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See detailMoney,
Rasmouki, Fanou UL

Scientific Conference (2012)

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See detailRe-thinking Banking and Finance
Rasmouki, Fanou UL

Scientific Conference (2012)

Detailed reference viewed: 31 (6 UL)