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Regulation and de-risking : theoretical and empirical insights
Haar, Lawrence; Gregoriou, Andros - In: Risks : open access journal 11 (2023) 6, pp. 1-23
The purpose of the Bank for International Settlements regulatory agenda, as implemented by financial regulators globally, has been to make banks safer and reduce the likelihood of systemic events. Using an original model of bank profit maximisation under a regulatory constraint, we statistically...
Persistent link: https://www.econbiz.de/10014334509
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...
Persistent link: https://www.econbiz.de/10011867427
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Measuring the performance of bank loans under Basel II/III and IFRS 9/CECL
Engelmann, Bernd; Pham Ha - In: Risks : open access journal 8 (2020) 3/93, pp. 1-21
loan loss provisions cannot be applied in a performance measurement scheme because they do not reflect the true economic …. Restricting profitability measurement to a time horizon of one year as often observed in practice could be misleading. Although … our focus is on profitability measurement, the framework could be applied in a wider context, i.e., for macroeconomic …
Persistent link: https://www.econbiz.de/10012293293
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Persistence of bank credit default swap spreads
Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13
Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in …
Persistent link: https://www.econbiz.de/10012126480
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The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period
Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13
component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after …
Persistent link: https://www.econbiz.de/10013093081
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Analyzing the impact of carbon risk on firms' creditworthiness in the context of rising interest rates
Batoon, Aimee Jean; Rroji, Edit - In: Risks : open access journal 12 (2024) 1, pp. 1-21
default swap spreads for different maturities between 2020 and 2023. In particular, the recent European interest rate hikes …
Persistent link: https://www.econbiz.de/10014481048
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Bond and CDS pricing via the stochastic recovery Black-Cox Model
Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 2, pp. 1-17
Building on recent work incorporating recovery risk into structural models by Cohen & Costanzino (2015), we consider the Black-Cox model with an added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in the structural framework....
Persistent link: https://www.econbiz.de/10011643417
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Extreme portfolio loss correlations in credit risk
Mühlbacher, Andreas; Guhr, Thomas - In: Risks : open access journal 6 (2018) 3, pp. 1-25
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence, it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We...
Persistent link: https://www.econbiz.de/10011890684
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Bail-in or bail-out? : correlation networks to measure the systemic implications of bank resolution
Giudici, Paolo; Parisi, Laura - In: Risks : open access journal 7 (2019) 1/3, pp. 1-25
We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the...
Persistent link: https://www.econbiz.de/10012018723
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Volatility spillovers among sovereign credit default swaps of emerging economies and their determinants
Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17
This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...
Persistent link: https://www.econbiz.de/10014636376