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Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

) and country-specific (disclosure requirements, concentration of the banking sector) variables. While most incentives are … substituted by liquidity regulation, a bank's disclosure requirement and size remain significant. A key takeaway from our analysis … is that the complementary nature of disclosure and liquidity requirements provides a strong rationale for considering …

Persistent link: https://www.econbiz.de/10010757282

Value-at-Risk and least squares tail index estimation

Goorbergh, R.W.J. van den - de Nederlandsche Bank - 1999

The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed...

Persistent link: https://www.econbiz.de/10005021859

Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?

Goorbergh, R.W.J. van den; Vlaar, P.J.G. - de Nederlandsche Bank - 1999

In this paper various Value-at-Risk techniques are applied tot the Dutch stock market index AEX and to the Dow Jones Industrial Average. the main conclusions are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For high...

Persistent link: https://www.econbiz.de/10005106724

Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?

Goorbergh, R.W.J. van den; Vlaar, P.J.G. - de Nederlandsche Bank - 1999

In this paper various Value-at-Risk techniques are applied to the Dutch stock market index AEX and to the Dow Jones Industrial Average. The main conclusion are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For low...

Persistent link: https://www.econbiz.de/10005106775

The Impact of Bank Size on Market Power

Bikker, Jacob A.; Spierdijk, Laura; Finnie, Paul - de Nederlandsche Bank - 2006

Over the past few decades, the worldwide banking industry has undergone strong consolidation. As a result, the number …

Persistent link: https://www.econbiz.de/10005021844

Regulation and banking: a survey

Hebbink, G.E.; Prast, H.M. - de Nederlandsche Bank - 1998

This report presents an overview of the theory of regulation in general, with special attention for the regulation of banks. Two theories of government regulation are described. The first, normative, theory uses market failures as the justification of government regulation. The second, positive,...

Persistent link: https://www.econbiz.de/10005021856

Large Bank Efficiency in Europe and the United States: Are There Economic Motivations for Geographic Expansion in Financial Services?

Bos, J.W.B.; Kolari, J.W. - de Nederlandsche Bank - 2003

This paper employs stochastic frontier cost and profit models to estimate economies of scale as well as X-efficiency for multi-billion dollar European and U.S. banks in the period 1995-1999. Empirical results with respect to separate analyses of large European and U.S. banks are strikingly...

Persistent link: https://www.econbiz.de/10005021890

Bank Efficiency the Role of Bank Strategy and Local Market Conditions

Bos, J.W.B.; Kool, C.J.M. - de Nederlandsche Bank - 2004

banking sector. The fact that environmental factors that are not appropriately controlled may easily bias efficiency estimates … inefficiencies on a set of a bank.s strategic choices, local banking market variables, and local (regional) macro variables. For the …

Persistent link: https://www.econbiz.de/10005101798

Forecasting the fragility of the banking and insurance sector

Bernoth, Kerstin; Pick, Andreas - de Nederlandsche Bank - 2009

important in the performance of banks and insurances, analyze the influences of a number of observable factors on banking and …

Persistent link: https://www.econbiz.de/10005101843

Modelling Scenario Analysis and Macro Stress-testing

End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006

factors in stress situations. The methodology is applied to the Dutch banking sector. …

Persistent link: https://www.econbiz.de/10005101857