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Bank Business Models : Popularity and Performance
Roengpitya, Rungporn - 2017
We allocate banks to distinct business models by experimenting with various combinations of balance sheet characteristics as inputs in cluster analysis. Using a panel of 178 banks for the period 2005-15, we identify a retail-funded and a wholesale-funded commercial banking model that are robust...
Persistent link: https://www.econbiz.de/10012941236
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Bank Capital Allocation under Multiple Constraints
Goel, Tirupam - 2017
in future states. When risks rise or risk management strengthens, a bank reallocates capital to the more efficient unit …
Persistent link: https://www.econbiz.de/10012944464
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Bank standalone credit ratings
King, Michael R.; Ongena, Steven; Tarashev, Nikola A. - 2018 - Revised January 2018. - This version: January 6, 2018
We study a unique experiment to examine the importance of rating agencies' private information for bank shareholders …. On July 20, 2011, Fitch Ratings refined their bank standalone ratings, which measure intrinsic financial strength, from a … standalone rating refinement was cleanly limited to bank shareholders. We find evidence suggesting that the refinement resulted …
Persistent link: https://www.econbiz.de/10012101174
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Post-Crisis International Financial Regulatory Reforms : A Primer
Borio, Claudio E. V. - 2020
. Specifically, it takes stock of the salient new features of bank and CCP international standards within a unified analytical …
Persistent link: https://www.econbiz.de/10012835929
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Global Monitoring with the BIS International Banking Statistics
McGuire, Patrick; Tarashev, Nikola A. - 2013
bank flows to measures of real activity and liquidity and show that the international banking system is becoming a more …
Persistent link: https://www.econbiz.de/10014218886
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Modelling and Calibration Errors in Measures of Portfolio Credit Risk
Tarashev, Nikola A.; Zhu, Haibin - 2014
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...
Persistent link: https://www.econbiz.de/10014224225