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College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame … Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial …
Persistent link: https://www.econbiz.de/10011557140
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10005082748
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...
Persistent link: https://www.econbiz.de/10009323134
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European … deteriorating funding conditions and investor sentiment. While the equity return performance in the banking sector has been dismal … in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports …
Persistent link: https://www.econbiz.de/10010957160
The paper discusses the question of whether financial participation of multilateral development banks does prompt … private investors to inject more risky equity capital in emerging market banks. Using a theoretical model, it is stipulated …
Persistent link: https://www.econbiz.de/10005083314
characteristics. Results indicate that FDI by non-banks exerted a strong pull effect on banking FDI flows, as did highly developed …The paper investigates the factors crucial in the locational decisions of multinational German banks in selected … backing of short-term banking deposits by international currency reserves. In almost all regressions, this financial crisis …
Persistent link: https://www.econbiz.de/10005083324
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