In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking-fragility episodes associated with credit funding sources classified into retail...

For the past several decades, financial crises have highlighted the need to assess the stability of the financial system.The current global financial crisis has demonstrated limitations in the purely statistical approaches which have heretofore been employed to assess the stability of financial...

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

In this paper we reconsider large Bayesian Vector Autoregressions (BVAR) from the point of view of Bayesian Compressed Regression (BCR). First, we show that there are substantial gains in terms of out-of-sample forecasting by treating the problem as an error-in-variables formulation and...