solved by standard software. Incorporating uncertainty on future defaults, risk weights and withdrawals and formulating the …

governed by risk-weights categories determined by the Basel regulation. We show that changes to risk-weight categories which … these dynamics are governed by a formula linking the two ratios together which derives from the sensitivity of the risk …-based capital ratio to a change in its risk-weight(s). One implication of our work regarding the Basel III regulation consists in …

part as data coverage has varied and often been limited. Studying the performance of foreign relative to domestic banks in … improve performance. These findings show that it is important to control for heterogeneity among foreign banks when studying … their performance and help reconcile some contradictory results found in the literature. …

causal effects of those reforms on bank risk. Using a difference-in-difference approach, we show that banks’ financial … corporate governance. We also find that the effects of legal and governance reforms on bank risk may critically depend on the … progress of banking reforms. A further examination of alternative risk measures reveals that the increases in financial …

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular Value-at-Risk … in the determination of market risk capital requirements, and also explain Monte Carlo and empirical findings in previous …

We examine the impact of ownership on income diversification and risk for Indian banks over the period 2001–2009. We … risk measures for public sector, private domestic, and foreign banks. We document that ownership does matter in the pursuit … less likely to pursue non-interest income sources. Fee-based income significantly reduces risk, measured by profitability …

-traditional activities is negatively correlated with risk-adjusted profitability measures in the former subperiod, suggesting no obvious …