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DEMATERIALISING CAPITAL IN FINANCIAL FIRMS: AN OPTION BASED APPROACH
Salvatore, Ciccarelli - EconWPA - 2004
Risk management is at present essential to the banking business mainly as a discipline geared to the protection of … depositors with a strong capital support. But risk management yields other benefits, offering a well-grounded procedure to … allocate capital and to price banking products. Value at Risk (VAR) is by far the most common methodology for quantifying risk …
Persistent link: https://www.econbiz.de/10005134794
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Capital Regulation and Credit Risk Taking : Empirical Evidence from Banks in Emerging Market Economies
Godlewski, Christophe - EconWPA - 2004
The primary purpose of this article is to investigate the relationship between bank capital and credit risk taking in … relationship between risk and capital. We apply a simultaneous equations framework following Shrieves and Dahl (1992) and Jacques … and legal environment in driving bank capitalization and credit risk taking behavior in emerging market economies. …
Persistent link: https://www.econbiz.de/10005076943
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Le Rôle de l'Environnement Réglementaire, Légal et Institutionnel dans la Défaillance des Banques : Le Cas des Pays Emergents
Godlewski, Christophe - EconWPA - 2004
Cet article étudie l’impact des facteurs institutionnels et réglementaires sur la défaillance des banques des pays émergents. Peu de travaux se sont intéressés à la défaillance bancaire dans ces pays. Or, la qualité des institutions telles que les commissions de régulation et de...
Persistent link: https://www.econbiz.de/10005077004
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Excess Credit Risk and Bank’s Default Risk An Application of Default Prediction’s Models to Banks from Emerging Market Economies
Godlewski, Christophe - EconWPA - 2004
The purpose of this paper is to investigate the regulatory and institutional factors which may increase excessive risk … taking in banks. Few studies deal with the impact of these external factors on bank’s risk taking and probability of default … a source of excess credit risk, which increases bank failure risk. The integration of these environmental variables …
Persistent link: https://www.econbiz.de/10005077012
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Influence des Facteurs Institutionnels sur l’Excès de Risque et les Ratings de Banques dans les Pays Emergents
Godlewski, Christophe - EconWPA - 2004
L’environnement réglementaire et institutionnel influence la prise de risque du banquier, particulièrement dans les pays émergents. L’excès de risque qui peut en résulter fragilise considérablement la solidité bancaire. Cet article étudie l’influence des facteurs institutionnels...
Persistent link: https://www.econbiz.de/10005077037
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Etude de la Cohérence des Ratings de Banques avec la Probabiliies de Dfaillance Bancaire dans les Pays Emergents
Godlewski, Christophe - EconWPA - 2004
Cet article propose d’appliquer la méthodologie de scoring et de calibrage afin d’étudier la cohérence des ratings de banques avec un modèle de défaut des banques dans les pays émergents. En effet, le rôle du rating en temps que vecteur de discipline de marché, via la véhiculation...
Persistent link: https://www.econbiz.de/10005077042
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STRUCTURAL MODELS IN CONSUMER CREDIT
Andrade, Fabio de; Thomas, Lyn - EconWPA - 2004
We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the … the Basel II approach. Our conclusions partially support that approach for modelling the credit risk of portfolios of …
Persistent link: https://www.econbiz.de/10005126110
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Macroeconomic evolution after a shock: the role for financial intermediation
Vinogradov, Dmitri - EconWPA - 2003
An overlapping generations model with two production factors and two types of agents is considered in presence of …nancial intermediation. The research focuses at the analysis of the consequences of a suddain negative production shock on a …nancial intermediation capacities and consequently...
Persistent link: https://www.econbiz.de/10005126268
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Further evidence on the link between finance and growth: An international analysis of community banking and economic performance
Berger, Allen N.; Hasan, Iftekhar; Klapper, Leora F. - EconWPA - 2004
We seek to contribute to both the finance-growth literature and the community banking literature by testing the effects of the relative health of community banks on economic growth and investigating potential transmission mechanisms for these effects using data from 1993–2000 on 49 nations....
Persistent link: https://www.econbiz.de/10005134638
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An approach to bank insolvency in transition and emerging economies
Mayes, David G. - EconWPA - 2004
In the light of the inequity of the way losses from bank insolvencies and their avoidance through intervention by the authorities have been distributed over creditors, depositors, owners and the population at large in transition and emerging economies, this paper explores a number of regulatory...
Persistent link: https://www.econbiz.de/10005134654