Bank Solvency and Funding Cost PDF (Adobe DRM) download by Christoph Aymanns

Bank Solvency and Funding Cost

INTERNATIONAL MONETARY FUND
Publication date: March 2016
ISBN: 9781513594873
Digital Book format: PDF (Adobe DRM)

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Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling for various other measures of bank fundamentals. The analysis includes two measures of bank funding cost: (a) average funding cost and (b) interbank funding cost as a proxy of wholesale funding cost. The main findings are: (1) Solvency is negatively and significantly related to measures of funding cost, but the effect is small in magnitude. (2) On average, the relationship is stronger for interbank funding cost than for average funding cost. (3) During periods of stress interbank funding cost is more sensitive to solvency than in normal times. Finally, (4) the relationship between funding cost and solvency appears to be non-linear, with higher sensitivity of funding cost at lower levels of solvency.
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Bank Solvency and Funding Cost PDF (Adobe DRM) download by Christoph Aymanns
INTERNATIONAL MONETARY FUND, March 2016
ISBN: 9781513594873
EAN:  9781513594873
PDF (Adobe DRM)
List Price: $9.00 eBook price: $6.99
Bank Solvency and Funding Cost ePub (Adobe DRM) download by Christoph Aymanns
INTERNATIONAL MONETARY FUND, March 2016
ISBN: 9781513591360
EAN:  9781513591360
ePub (Adobe DRM)
List Price: $9.00 eBook price: $6.99