Bank Solvency and Funding Cost: New Data and New Results

Stress Testing at the IMF

“…2 Aymanns and others (2016), using publicly available information for the largest US banks, find that a decline in solvency ratios leads to higher unsecured funding costs, as well as a decline in net interest margin. Schmitz, Sigmund, and Valderrama (2017) analyze change in bank funding costs for 54 global banks. Their finding suggests that a 100 basis point increase in regulatory capital ratios is associated with a decrease of bank funding costs of about 105 basis points.…”

Euro Area Policies: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector

“…55 See Harimohan, McLeay, and Young (2016), Schmitz, Sigmund, and Valderrama (2017), Arnould, Pancaro, and Zochowski (2018, forthcoming). 56 A key difference is that the authors use the CDS rate over swap rate as a proxy of the cost of debt issuance, rather than using banks' actual spreads over swap rate which is the approach taken in this note.…”

Incorporating funding costs in top-down stress tests

“…Aymanns, Caceres, Daniel, and Schumacher, 2016;Anneart, De Ceuster, Van Roy, and Vespro, 2013;Hasan, Liu, and Zhang, 2016). Another closely related paper is Schmitz, Sigmund, and Valderrama (2016) which also discuss applications to stress testing.…”