TITLE

Off-balance-sheet credit risk of the top 20 European commercial banks

AUTHOR(S)
Khambata, Dara; Hirche, Stefan W.
PUB. DATE
December 2002
SOURCE
Journal of International Banking Regulation;Dec2002, Vol. 4 Issue 2, p107
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The comparison of on-balance-sheet (OBS) credit risk of the top 20 European commercial banks indicated that loan commitments are the largest source of credit risk among traditional OBS instruments. However, the notional amounts of derivative activities make up around 95 per cent of the total OBS exposure. Here,a concentration of exposure with a small group of banks can be found. An analysis by country of origin points to national differences in the use of derivative leverage. In comparison with US commercial banks, European banks use fewer OBS activities as a multiple on-balance-sheet assets. The disclosure and reporting by European banks regarding OBS activities varies widely and is less comparable than US activities.
ACCESSION #
8505391

 

Related Articles

  • ASSESSING CREDIT RISK DERIVATIVES. Moore, Daniel // Canadian Investment Review;Winter2005, Vol. 18 Issue 4, pR11 

    The article examines how banks assess the credit risk in derivatives. Under a Total Return Swap (TRS), the payer pays the total return of an underlying asset or portfolio of assets to a Total Return Receiver. TRS products offer various advantages over holding the physical asset outright...

  • Rising counterparty risk sees Architas shun synthetic ETFs. Ellul, Joanne // Money Marketing;6/7/2012, p20 

    The article reports that Architas Chief Investment Officer Caspar Rock has announced that the firm's multi-manager team is avoiding synthetic exchange traded funds (ETF). The decision to avoid such funds came after the increase of counter party risk due to bank downgrades. Unlike...

  • LES MARCHÉS DE PRODUITS DÉRIVÉS DE GRÉ À GRÉ ET LA QUESTION DE L'ACCÈS AUX BANQUES CENTRALES DES CONTREPARTIES CENTRALES. RUSSO, DANIELA; TUMPEL-GUGERELL, GERTRUDE // Revue d'Économie Financière;mar2011, Vol. 101, p37 

    No abstract available.

  • Getting the Most Out of a Mandatory Subordinated Debt Requirement. Rong Fan; Haubrich, Joseph G.; Ritchken, Peter; Thomson, James B. // Journal of Financial Services Research;Oct-Dec2003, Vol. 24 Issue 2/3, p149 

    Recent advances in asset pricing-the reduced-form approach to pricing risky debt and derivatives-are used to quantitatively evaluate several proposals for mandatory bank issue of subordinated debt. We find that credit spreads on both fixed- and floating-rate subordinated debt provide relatively...

  • The Analysis of the Correlation between the Banking System Profile and its Involvement in Transactions with Financial Derivatives. Silvia, Ghiţă-Mitrescu // Ovidius University Annals, Series Economic Sciences;2012, Vol. 12 Issue 2, p1145 

    The use of derivatives by commercial banks is a thorny problem lately, mainly because of the opinion of some experts that that activity led to the global financial crisis. This paper does not aim to analyze the effects that the use of derivatives by banks has on their performances, but to...

  • Hoenig Details How Reg Relief Could Be Based on Behavior, Not Size. Mckendry, Ian // American Banker;4/15/2015, Vol. 180 Issue 57, p1 

    The article reports on a 2014 Levy Economics Institute conference where U.S. Federal Deposit Insurance Corp. Vice Chairman Thomas Hoenig suggested a new measure to grant regulatory relief for banks. Hoenig described using asset thresholds as too arbitrary and offered extensive breaks for...

  • What's all the fuss about? Goddard, Michael // Accountancy;May2004, Vol. 133 Issue 1329, p52 

    This article explores the positive and negative aspects of derivatives. Accounting for derivatives is one of the major sticking points in the transition to International Accounting Standards for European-listed companies in 2005. These instruments call for money to change hands at some future...

  • Derivatives Staffers A Hot Commodity. Iyer, Savita // High Yield Report;8/9/2004, Vol. 15 Issue 32, p3 

    Reports on banks hiring of employees for their derivatives business in the U.S.

  • Derivative Earnings Fell in 3Q . Davenport, Todd // American Banker;12/16/2002, Vol. 167 Issue 239, p20 

    Reports on the decrease in commercial bank earnings from derivative securities in the U.S. in the third quarter of 2002. Increase in amount of derivatives held by commercial banks; Closure of interest rate contracts by banks.

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics