Similar Search Results

Bank Risk Management and the Franchise Value

Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …

Persistent link: https://www.econbiz.de/10005859100

Die Risikopolitik der Banken in ihrer konkreten Ausgestaltung - Entwurf einer ausformulierten Risikopolitik als Vorlage - 2. Teil

Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 1999

Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank …

Persistent link: https://www.econbiz.de/10005857023

International Integration, Common Exposure and Systemic Risk in the Banking Sector: An Empirical Investigation

Allenspach, Nicole; Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper analyzes the impact of ongoing financial integration and increase in crossborder activities on banks common exposure to shocks and on banking sector systemic risk. For that, we study the evolution of correlations between large international banks asset-to-debt ratios over...

Persistent link: https://www.econbiz.de/10005858331

Positionierung des schweizerischen Bankwesens im internationalen Strukturwandel des Finanzsektors - Hypothesen, Visionen und Strategien für die Zukunft

Cocca, Teodoro D.; Csoport, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2002

Auch der Schweizer Finanzplatz wird sich im Zeichen des E-Commerce weiter verändern, um sich neuen Herausforderungen zu stellen. Wwer unter den alten und neuen Anbietern von Finanzdienstleistungen als Sieger aus diesem Transformationsprozess hervorgehen wird, ist schwierig zu prognostizieren...

Persistent link: https://www.econbiz.de/10005857005

Hybrid Cat-bonds

Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a ﬁnancial viewpoint, natural catastrophes represent idiosyncratic risks,diversiﬁable at the world level. But for reasons analyzed in this pap er reinsurance markets are unable to...

Persistent link: https://www.econbiz.de/10005857781

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

integrate the signiﬁcant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …

Persistent link: https://www.econbiz.de/10005858102

Some Statistical Pitfalls in Copula Modeling for Financial Applications

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in ﬁnancial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.

Persistent link: https://www.econbiz.de/10005858145

Anomalies in Intertemporal Choice?

Gerber, Anke; Rohde, Kirsten I. M. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper argues that observations of non-stationary choice behavior need notnecessarily imply speciﬁc properties of the individuals discount function. As weshow, the observed anomalies in intertemporal choice can alternatively be explained by an individuals perception of the risk...

Persistent link: https://www.econbiz.de/10005858206

Bankruptcy law and firms' behavior

Epaulard, Anne; Pommeret, Aude - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The aim of this paper is to study the impact of bankruptcy law on financing, investment, default and liquidation decisions of firms. We build a model in which a firm can finance its investment by issuing debt. The investment is risky. Because of risk, the firm may default. The firm manager takes...

Persistent link: https://www.econbiz.de/10005858212

Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?

Gibson, Rajna; Habib, Michel; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In spite of the fact that they can draw on a larger, more liquid and more diversifiedpool of capital than the equity of reinsurance companies, financial markets have failed to displace reinsurance as the primary risk-sharing vehicle for natural catastrophe risk. We show that this failure can be...

Persistent link: https://www.econbiz.de/10005858213