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dc.contributor.advisorHeimonen, Kari
dc.contributor.authorTouvras, Alexandros
dc.date.accessioned2019-02-20T14:00:41Z
dc.date.available2019-02-20T14:00:41Z
dc.date.issued2019
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/62906
dc.description.abstractBanks’ exposure to risky government bonds has become one of the main reasons of financial instability in recent years, especially in the euro area. The connected fate of banks and their sovereign government, the insufficient amount of safe assets, the high percentages of non-performing loans, as well as the low level of loans supplied to the economy are some of the main issues that need to be tackled in the financial system today. This paper examines the potential benefits of government bond diversification and the introduction of tranches via a new asset in banks’ balance sheets from five countries in the euro area, Greece, Italy, Spain, Portugal and Germany. Additionally, the application of zero risk-weights and the absence of exposure limits to government bonds in banks’ balance sheets is questioned. With the aid of a simulation technique, the distribution of potential future losses for various compositions of banks’ balance sheets is calculated. Furthermore, the credit risk is measured via the VaR or CVaR method. On the one hand, results indicate that diversification of government bonds, may positively reduce banks’ credit risk and thus, lead to an increase in loans supplied. On the other hand, in more stable financial environments such measures may be counter effective. The introduction of sovereign bond backed securities seems to tackle these issues more effectively. When banks hold the safest tranches of such assets, the reduction of credit risk is more effective in all economies examined, which leads to an increase in loan supply in all five countries. Therefore, this study finds support for the creation of a safe asset, as it is suggested in previous literature, in order to tackle some of the main issues that cause financial instabilities in the euro area.en
dc.format.extent57
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.subject.othergovernment bonds
dc.subject.othercredit risk
dc.subject.otherdiversification
dc.subject.othersafe asset
dc.subject.otherloan supply
dc.subject.otherVaR
dc.titleGovernment bonds and credit risk : an assesment of diversification and a safe asset in the euro area
dc.identifier.urnURN:NBN:fi:jyu-201902201601
dc.type.ontasotPro gradu -tutkielmafi
dc.type.ontasotMaster’s thesisen
dc.contributor.tiedekuntaKauppakorkeakoulufi
dc.contributor.tiedekuntaSchool of Business and Economicsen
dc.contributor.laitosTaloustieteetfi
dc.contributor.laitosBusiness and Economicsen
dc.contributor.yliopistoJyväskylän yliopistofi
dc.contributor.yliopistoUniversity of Jyväskyläen
dc.contributor.oppiaineTaloustiedefi
dc.contributor.oppiaineEconomicsen
dc.rights.copyrightJulkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty.fi
dc.rights.copyrightThis publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.en
dc.type.publicationmasterThesis
dc.contributor.oppiainekoodi2041
dc.subject.ysopankit
dc.subject.ysoobligaatiot
dc.subject.ysolainat
dc.subject.ysopankkikriisit
dc.subject.ysovelkakriisit
dc.subject.ysoeuro
dc.subject.ysobanks (monetary institutions)
dc.subject.ysobonds
dc.subject.ysoloans
dc.subject.ysobanking crises
dc.subject.ysodebt crises
dc.subject.ysoeuro
dc.format.contentfulltext
dc.type.okmG2


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