Regis, Luca Good and bad banks. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, pp. 359-366. ISBN 978-88-470-2341-3 (2012)
Full text not available from this repository.Abstract
In the recent financial crisis, reorganizations of distressed financial institutions following the good bank and bad bank model were discussed. In the context of a structural framework and under perfect information, we analyze endogenous capital structure choices of an arrangement constituted by a large regulated unit which manages the more secure assets of a bank and a smaller division - possibly unregulated - which gathers the more risky and volatile ones. We question whether such an arrangement is a priori optimal and whether financial institutions have private incentives to set up different risk-classes of assets in separate entities. We investigate the effect of intra-group guarantees on optimal leverage and expected default costs. Numerical results show that these guarantees can enhance group value and limit default costs when the firm separates its more secure from its more risky assets in regulated entities.
| Item Type: | Book Section |
|---|---|
| Identification Number: | https://doi.org/10.1007/978-88-470-2342-0_42 |
| Uncontrolled Keywords: | Capital structure; good/bad banks; intra-group guarantees; financial groups |
| Subjects: | H Social Sciences > HB Economic Theory |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 27 Sep 2013 12:56 |
| Last Modified: | 27 Sep 2013 12:56 |
| URI: | http://eprints.imtlucca.it/id/eprint/1807 |
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