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Management von Risikokonzentrationen : praxisorientierter Umgang mit neuen Anforderungen nach SREP und MaRisk
Bärmann, Tim; Batz, Christian; Bembom, Tobias - 2018 - 2. Auflage
Persistent link: https://www.econbiz.de/10011796769
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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08
Baba, Naohiko; Packer, Frank - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent …
Persistent link: https://www.econbiz.de/10009248819
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Price discovery from cross-currency and FX swaps: a structural analysis
Baba, Naohiko; Amatatsu, Yasuaki - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U ….S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space … models. Our main findings are that: (i) the currency swap market plays a much more dominant role in price discovery than... …
Persistent link: https://www.econbiz.de/10009248829
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Does monetary policy affect bank risk-taking?
Altunbaş, Yener; Gambacorta, Leonardo; Marqués … - Bank für Internationalen Zahlungsausgleich <Basel> - 2010
This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low...
Persistent link: https://www.econbiz.de/10005871021
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A Framework for Assessing the Systemic Risk of Major Financial Institutions
Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...
Persistent link: https://www.econbiz.de/10009138492
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Measuring portfolio credit risk correctly: why parameter uncertainty matters
Tarashev, Nikola A. - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian...
Persistent link: https://www.econbiz.de/10009138496
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Innovations in credit risk transfer: implications for financial stability
Duffie, Darrell - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Banks and other lenders often transfer credit risk to liberate capital for further loan intermediation. This paper aims to explore the design, prevalence and effectiveness of credit risk transfer (CRT). The focus is on the costs and benefits for the efficiency and stability of the financial...
Persistent link: https://www.econbiz.de/10009302515
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Bearbeitungs- und Prüfungsleitfaden Rating-Systeme und -Prozesse : Praxis- und Projekterfahrung aus Implementierung und Prüfung ; Prozesse prüfen, Risiken vermeiden, Fehler aufdeck...
Breitenbach, Gregor; Martin, Marcus R. W.; Nolte, Thomas - 2007
Persistent link: https://www.econbiz.de/10003597572
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Problematische Firmenkundenkredite : Krise - Sanierung - Insolvenz
Ahlers, Horst; Ambrozic, Igor; Cranshaw, Friedrich L.; … - 2016 - 5. Auflage
Persistent link: https://www.econbiz.de/10011474502