| Nº Sistema |
000465113 |
| Autor |
 Gross, Marco |
| Autor |
Dubiel-Teleszynski, Tomasz Piotr |
|
Población, Javier |
| Título |
A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime [Recurso electrónico] / Marco Gross, Tomasz Dubiel-Teleszynski, Javier Población. |
| Datos publicación |
Frankfurt am Main : European Central Bank, 2018. |
| Descrip. física |
27 p. |
| Serie |
ECB working papers ; 2181 ;ISSN:1725-2806 |
| Resumen |
We develop a structural model for valuing bank balance sheet components such as the equity and debt value, the value for the government when the bank is operated by private shareholders including the present value of a possible future bailout, the bailout value incurred by the government following the abandonment of the private shareholders, and, moreover, some price and risk parameters, including the funding cost spread and the banks’ probability of default. The structural model implies an abandonment threshold, at which if total income drops below this threshold, private shareholders abandon the bank. In this case, the shareholders lose part (or all) of the capital that they hold in the bank, the creditors lose part or all of their debt, and the government receives a portion (or all) of the capital and all of the debt that is not recovered by creditors. Hence, we assume that part of the capital can be lost due to financial distress or to cover bankruptcy costs. We use the model framework to assess the impact of capital-based macro-prudential policy measures and focus in particular on assessing the difference that an assumed bail-in as opposed to bail-out regime can make. [Resumen de autor] [eng] |
| ISBN |
978-92-899-3286-8 |
| Restricciones |
Acceso público y gratuito a la versión electrónica en Internet |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
International Review of Economics & Finance, v. 59, January 2019, p. 1-13 |
| Clasificación |
G21-Instituciones crediticias de depósito. |
|
G2-Sistemas bancarios y actividad crediticia. |
|
G7-Regulación y supervisión de instituciones financieras. |
| Entidad secundaria |
BCE. Banco Central Europeo |
