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Credit risk and risk-neutral default probabilities : information about rating migrations and defaults

Delianedis, Gordon; Geske, Robert Leonard - 1998 - Rev

Persistent link: https://www.econbiz.de/10001509425

Simulating correlated defaults

Duffie, Darrell; Singleton, Kenneth J. - 1998

Persistent link: https://www.econbiz.de/10001509438

How does credit supply respond to monetary policy and bank minimum capital requirements?

Aiyar, Shekhar; Calomiris, Charles; Wieladek, Tomasz - Bank of England - 2014

We use data on UK banks’ minimum capital requirements to study the interaction of monetary policy and capital requirement regulation. UK banks were subject to both time-varying capital requirements and changes in interest rate policy. Tightening of either capital requirements or monetary...

Persistent link: https://www.econbiz.de/10010927827

Central counterparties and the topology of clearing networks

Galbiati, Marco; Soramaki, Kimmo - Bank of England - 2013

Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the...

Persistent link: https://www.econbiz.de/10010839038

The international transmission of bank capital requirements: evidence from the United Kingdom

Aiyar, Shekhar; Calomiris, Charles; Hooley, John; … - Bank of England - 2014

We use data on UK banks’ minimum capital requirements to study the impact of changes to bank-specific capital … requirements on cross-border bank loan supply from 1999 Q1 to 2006 Q4. By examining a sample in which each recipient country has …

Persistent link: https://www.econbiz.de/10010764521

Filtered historical simulation Value-at-Risk models and their competitors

Gurrola-Perez, Pedro; Murphy, David - Bank of England - 2015

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...

Persistent link: https://www.econbiz.de/10011195642

Systemic capital requirements

Webber, Lewis; Willison, Matthew - Bank of England - 2011

The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of …

Persistent link: https://www.econbiz.de/10009358602

The impact of capital requirements on bank lending

Bridges, Jonathan; Gregory, David; Nielsen, Mette; … - Bank of England - 2014

We estimate the effect of changes in microprudential regulatory capital requirements on bank capital ratios and bank … lending. We do so by running panel regressions using a rich new data set, exploiting variation in individual bank capital … mostly recovers within three years. While estimated over a different policy regime and at the individual bank level, these …

Persistent link: https://www.econbiz.de/10010839049

Size and complexity in model financial systems

Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - Bank of England - 2012

direct spillovers from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via …

Persistent link: https://www.econbiz.de/10010839052

Estimating the impact of changes in aggregate bank capital requirements during an upswing

Noss, Joseph; Toffano, Priscilla - Bank of England - 2014

the aggregate bank capital requirement during an economic upswing is associated with a reduction of lending, with the …

Persistent link: https://www.econbiz.de/10010839058