内部纾困风险对银行债券持有人的影响

IF 0.6 Q4 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE

International Journal of Biometrics Pub Date : 2020-08-16 DOI:10.5539/ijbm.v15n9p105

L. Gai, F. Ielasi, Martina Mainini

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引用次数: 2

摘要

本文研究了银行债券二级市场自救监管的影响。利用欧元区主要银行发行的未偿债券数据，本研究进行了汇总面板回归分析，以确定“可bailinable”和“可bailinable”债券收益率之间的关系。本文还分析了内部纾困工具对银行杠杆的影响，在内部纾困的情况下，银行杠杆会影响债券持有人损失的潜在严重程度。以2006年1月至2016年12月45家银行发行的4855只债券为样本，我们发现，当纾困监管生效时，无担保债券的风险溢价增加，优先无担保债券对收益率和收益率差的影响最大。此外，还发现了与银行杠杆率相关的“纾困严重程度”溢价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Impact of Bail-in Risk on Bank Bondholders

The paper investigates the impact of the bail-in regulation on bank bond secondary markets. Using data on outstanding bonds issued by significant Euro-Area banks, the study carries out pooled panel regression analyses to determine the association between yields of “bailinable” and “bailinable” bonds. The paper also analyses the impact of the bail-in tool in relation to bank leverage, which affects the potential severity of losses for bondholders in the case of bail-in. With a sample of 4,855 bonds issued by 45 banks from January 2006 to December 2016, we find an increase in the risk premium for unsecured bonds, and senior unsecured bonds show the greatest effect on yields and yield spread when bail-in regulation came into force. Moreover, a “bail-in severity” premium, related to bank leverage, is identified.

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来源期刊

International Journal of Biometrics COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE-

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： Biometrics and human biometric characteristics form the basis of research in biological measuring techniques for the purpose of people identification and recognition. IJBM addresses the fundamental areas in computer science that deal with biological measurements. It covers both the theoretical and practical aspects of human identification and verification.