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Systemic risk diagnostics
Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010
A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...
Persistent link: https://www.econbiz.de/10011382067
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Trade in financial services : procompetitive effects and growth performance
Francois, Joseph F.; Schuknecht, Lutger - 1999 - Rev.
In this paper we explore linkages between financial services tradeand growth. We offer aformalization of the argument that trade, through the fostering offinancial market integration,may yield important long-run effects related to increasedcompetition. The relationshipsformalized here link...
Persistent link: https://www.econbiz.de/10011301163
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Incentives for effective risk management
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001
Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...
Persistent link: https://www.econbiz.de/10011318589
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How to construct nationally representative firm level data from the ORBIS global database
Kalemli-Ozcan, Sebnem; Sørensen, Bent E.; … - 2015
Bureau van Dijk Electronic Publishing (BvD). The ORBIS database provides data on firms' financial and productive activities … database usable for research. First, the database is not designed for large downloads that is essential for an econometric … analysis. Second, there are several inherent biases in the database that affect the download process and lead to missing …
Persistent link: https://www.econbiz.de/10011335014
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Micro moments database for cross-country analysis of ICT, innovation, and economic outcomes
Bartelsman, Eric J.; Hagsten, Eva; Polder, Michael - 2017
This paper provides technical documentation to a database built up from firm-level sources titled Micro moments … database(MMD) that is made available for researchers through Eurostat. The MMD is an internationally harmonized research … database of statistical moments collected from linked longitudinal firm-level data in a large selection of EU national …
Persistent link: https://www.econbiz.de/10011583471
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Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10011378354
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...
Persistent link: https://www.econbiz.de/10011346454
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Financial sector competition, service trade, and growth
Francois, Joseph F.; Eschenbach, Felix - 2002
We explore dynamic linkages between financial/banking sector openness, financial sector competition, and growth. We first develop an analytical model, highlighting links between long-run economic performance and services trade, through scale economies and market and cost structures in the...
Persistent link: https://www.econbiz.de/10011327533
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
Persistent link: https://www.econbiz.de/10003233496
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Trade in financial services : procompetitive effects and growth performance
Francois, Joseph F.; Schuknecht, Ludger - 1999
Persistent link: https://www.econbiz.de/10001371219