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Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …

Persistent link: https://www.econbiz.de/10010248947

Modelling and measuring business risk and the resiliency of retail banks

Chaffai, Mohamed E.; Dietsch, Michel - 2013

The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model. On average, retail banks suffered less than other financial institutions from unexpected market changes. This paper proposes a new methodology to measure retail banks’...

Persistent link: https://www.econbiz.de/10010192816

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...

Persistent link: https://www.econbiz.de/10011299075

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …

Persistent link: https://www.econbiz.de/10011520642

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

- built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the …

Persistent link: https://www.econbiz.de/10011663208

Global banking : risk taking and competition

Faia, Ester; Ottaviano, Gianmarco I. P. - 2017

Persistent link: https://www.econbiz.de/10011629638

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

A comprehensive view on risk reporting : evidence from supervisory data

Abbassi, Puriya; Schmidt, Michael - 2018

that supervision should include a comprehensive view of different bank risk dimensions. …

Persistent link: https://www.econbiz.de/10011826077

Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012201789

Value at risk : proposals on a generalization

Schröder, Michael - 1996

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk measurement: it is particularly interpretable as a special...

Persistent link: https://www.econbiz.de/10011622673

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