TY - BOOK ID - 101239771 TI - Whose Credit Line is it Anyway : An Update on Banks' Implicit Subsidies PY - 2016 SN - 147555480X 1475554729 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Loans, Foreign. KW - Foreign loans KW - International loans KW - Loans, International KW - Loans KW - Conditionality (International relations) KW - Foreign loan insurance KW - Banks and Banking KW - Financial Risk Management KW - Investments: Stocks KW - Macroeconomics KW - Industries: Financial Services KW - Contingent Pricing KW - Futures Pricing KW - option pricing KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Financial Institutions and Services: Government Policy and Regulation KW - Taxation, Subsidies, and Revenue: General KW - Financial Crises KW - Price Level KW - Inflation KW - Deflation KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - International Financial Markets KW - Financial Institutions and Services: General KW - Economic & financial crises & disasters KW - Banking KW - Investment & securities KW - Finance KW - Financial crises KW - Asset prices KW - Stocks KW - Asset valuation KW - Prices KW - Financial institutions KW - Asset and liability management KW - Global systemically important banks KW - Banks and banking KW - Asset-liability management KW - Financial services industry KW - United States KW - Option pricing UR - https://www.unicat.be/uniCat?func=search&query=sysid:101239771 AB - The post-crisis financial sector framework reform remains incomplete. While capital and liquidity requirements have been strengthened, doubts remain over other aspects, including the fact that expectations of government support for systemically-important banks (SIBs) remain intact. In this paper, we use a jump diffusion option-pricing approach to provide estimates of implicit subsidies gained by these banks due to the expectation of protection to creditors provided by governments. While these subsidies have declined in the post-crisis era as volatility has declined and capital levels have increased, they remain non-trivial. Even conservative parameterizations of default and loss probabilities lead to macroeconomically significant figures. ER -