Alberto Cybo-Ottone, Lorenzo Savorelli,
This paper explores the feedback loop between the intensity of financial intermediary recapitalization and a number of measures of credit and liquidity risk. We cover the entire 2007–2009 subprime crisis with a sample that includes the 97 largest banks and insurance companies on both sides of the Atlantic. We model the intensity of recapitalization by implementing a scale measure inspired by the Corrective Action system used by U.S. banking regulators. The proposed ordering starts with inaction, ...
Tópico(s): Credit Risk and Financial Regulations
2015 - Wiley | Economic Notes