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Identifying, ranking and tracking systemically important financial institutions (SIFIs), from a global, EU and Eurozone perspective
Masciantonio, Sergio - Volkswirtschaftliche Fakultät, … - 2013
This paper develops a methodology to identify systemically important financial institutions building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIFIs identification. This methodology is based on publicly available data, providing fully...
Persistent link: https://www.econbiz.de/10011113924
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Непараметрические оценки эффективности российских банков
Golovan, Sergei; Nazin, Vladimir; Peresetsky, Anatoly - Volkswirtschaftliche Fakultät, … - 2010
Non-parametric estimates of technical efficiency of Russian banks are considered for each quarter in the period of 2002–2006. Two types of DEA estimates CCR (Charnes, Cooper, Rhodes, 1978) and BCC (Banker, Charnes, Cooper, 1984), are compared with parametric SFA estimates. Semiparametric...
Persistent link: https://www.econbiz.de/10011112238
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Modeling risk in a dynamically changing world: from association to causation
Sokolov, Yuri - Volkswirtschaftliche Fakultät, … - 2012
The current crisis causes numerous economic uncertainties, such as a break-up of the European currency union, and a Greek exit from the euro area to boost the competitiveness by means of devaluation of national currency. When a factor such as exchange rate is expected to have a significant...
Persistent link: https://www.econbiz.de/10011259234
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Off-balance sheet credit exposure and asset securitisation: what impact on bank credit supply?
Scopelliti, Alessandro Diego - Volkswirtschaftliche Fakultät, … - 2013
for the design of financial regulation, particularly in the area of shadow banking, supporting the current policy …
Persistent link: https://www.econbiz.de/10011260670
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Global financial crisis and its impact on the financial system of Kosovo
Ramosaj, Berim - Volkswirtschaftliche Fakultät, … - 2010
The Kosovo’s Financial Sector is one of the newest financial sectors in Eastern Europe whose developments began in early 2000. Kosovo's banking sector consists of 8 privately owned commercial banks, the insurance companies which make up 5% of total financial sector assets by 10 insurance...
Persistent link: https://www.econbiz.de/10008728057
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Interaction between market and credit risk: Focus on the endogeneity of aggregate risk
Sokolov, Yuri - Volkswirtschaftliche Fakultät, … - 2009
As shown in the recent BCBS papers market and credit risks could reinforce each other in certain circumstances, meaning the sum of the parts might be less than an estimate of risk that takes into account the interactions between the two. Market risk factors have an ambiguous impact on the firms'...
Persistent link: https://www.econbiz.de/10008549606
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Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements
Krieger, Kevin; Mauck, Nathan; Vasquez, Joseph - Volkswirtschaftliche Fakultät, … - 2014
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate policy decisions by the Federal Open Market Committee (FOMC) and the European Central Bank (ECB). We confirm prior findings that VIX declines on FOMC meetings days. We present...
Persistent link: https://www.econbiz.de/10011114294
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What factors drive the Russian banks license withdrawal
Peresetsky, A. A. - Volkswirtschaftliche Fakultät, … - 2011
The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency...
Persistent link: https://www.econbiz.de/10011258099
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The global financial crisis and indian banks: survival of the fittest?
Eichengreen, Barry; Gupta, Poonam - Volkswirtschaftliche Fakultät, … - 2012
The Indian banking system was initially thought to be insulated from the global financial crisis owing to heavy public ownership and cautious management. It was thus a surprise when some banks experienced a deposit flight, as depositors shifted their money toward government-owned banks and...
Persistent link: https://www.econbiz.de/10011258159
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Bank regulation, supervision and efficiency during the global financial crisis
Swamy, Vighneswara - Volkswirtschaftliche Fakultät, … - 2014
In this study, using the World Bank’s Bank Regulation and Supervision Survey (BRSS) data, we draw insights about the … bank regulatory/supervisory styles, illustrate the differences in regulation/supervision among crisis, non-crisis and BRICS … countries, and highlight the ways in which bank regulation and supervision has changed during the crisis period. The study …
Persistent link: https://www.econbiz.de/10011113271