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Idiosyncratic viral loss theory : systemic operational losses in banks

Velez, Sophia Beckett - In: Journal of risk and financial management : JRFM 14 (2021) 2/82, pp. 1-13

Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can reduce significant idiosyncratic operational losses. A systemic risk event that leads to significant losses in a bank holding company (BHC) can expose them to become insolvent...

Persistent link: https://www.econbiz.de/10012484192

Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Persistent link: https://www.econbiz.de/10012622472

The impact of the Basel accord on Greek banks : a stress test study

Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197

In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...

Persistent link: https://www.econbiz.de/10011545145

An empirical study on the impact of Basel III standards on banks’ default risk : the case of Luxembourg

Giordana, Gastón Andrés; Schumacher, Ingmar - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-21

simulation exercise suggests that basically all banks would have seen a decrease in their default risk during a crisis episode if …

Persistent link: https://www.econbiz.de/10011669011

A review of the regulatory impact analysis of risk-based capital and related liquidity rules

Hogan, Thomas L. - In: Journal of risk and financial management : JRFM 14 (2021) 1/24, pp. 1-29

This paper reviews the cost-benefit analysis, or “regulatory impact analysis” (RIA), in US bank regulators’ risk-based capital (RBC) rule proposals. We review the principles of cost-benefit analysis and its application by US bank regulators. We provide a brief background on RBC rules and...

Persistent link: https://www.econbiz.de/10012417012

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43

propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …

Persistent link: https://www.econbiz.de/10012322078

Capital adequacy, deposit insurance, and the effect of their interaction on bank risk

Jumreornvong, Seksak; Chakreyavanich, Chanakarn; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

This paper investigates how deposit insurance and capital adequacy affect bank risk for five developed and nine emerging markets over the period of 1992–2015. Although full coverage of deposit insurance induces moral hazard by banks, deposit insurance is still an effective tool, especially...

Persistent link: https://www.econbiz.de/10011960605

Models for risk aggregation and sensitivity analysis : an application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189

implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS … yields the highest PDBs than other methodologies (127% to 243%), while Archimadean Gumbel copula simulation (AGCS) is the …

Persistent link: https://www.econbiz.de/10011556126

The effects of securitization for managing banking risk using alternative tranching schemes

Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at the cost of increasing systemic risk. Later, a...

Persistent link: https://www.econbiz.de/10013471496

The impact of BASEL accords on the management of Vietnamese commercial banks

Pham, Hai Long; Daly, Kevin James - In: Journal of risk and financial management : JRFM 13 (2020) 10/228, pp. 1-19

This paper is an attempt to empirically examine the impact of Basel Accord regulatory guidelines on the risk-based capital adequacy regulation and bank risk management of Vietnamese commercial banks. Our research aims to assess how Vietnamese commercial banks manage their capital ratio and bank...

Persistent link: https://www.econbiz.de/10012388007

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