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Calculating trading book capital: Is risk separation appropriate?
Raupach, Peter - 2015
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks' internal models for economic capital. Although it is known that joint market and...
Persistent link: https://www.econbiz.de/10011301347
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Centrality-based capital allocations
Alter, Adrian; Craig, Ben; Raupach, Peter - 2015
interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending …
Persistent link: https://www.econbiz.de/10010471493
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The common drivers of default risk
Memmel, Christoph; Gündüz, Yalin; Raupach, Peter - 2012
set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for … regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The …
Persistent link: https://www.econbiz.de/10010311099
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Robustness and informativeness of systemic risk measures
Löffler, Gunter; Raupach, Peter - 2013
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...
Persistent link: https://www.econbiz.de/10010311764
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Calculating Trading Book Capital : Is Risk Separation Appropriate?
Raupach, Peter - 2016
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks' internal models for economic capital. Although it is known that joint market and...
Persistent link: https://www.econbiz.de/10012988686
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Centrality-Based Capital Allocations
Alter, Adrian - 2016
interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending …
Persistent link: https://www.econbiz.de/10012988702
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Robustness and Informativeness of Systemic Risk Measures
Löffler, Gunter - 2016
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...
Persistent link: https://www.econbiz.de/10012988798
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The Common Drivers of Default Risk
Memmel, Christoph - 2016
set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for … regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The …
Persistent link: https://www.econbiz.de/10012988803