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We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100
This paper analyzes the impact of ongoing financial integration and increase in crossborder activities on banks’ common exposure to shocks and on banking sector systemic risk. For that, we study the evolution of correlations between large international banks’ asset-to-debt ratios over...
Persistent link: https://www.econbiz.de/10005858331
produced by the banks themselves. The paper concludes that, even though bank-firm relations are still deeply embedded in …
Persistent link: https://www.econbiz.de/10013102832
In this paper we investigate the relationship between changes in risk and changes in leverage for a panel of Swiss banks. Using market data for risk and both accounting and market data for capital for the period between 1990 and 2002, we find a positive correlation between changes in capital and...
Persistent link: https://www.econbiz.de/10011430035
We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...
Persistent link: https://www.econbiz.de/10005868719
We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...
Persistent link: https://www.econbiz.de/10005868720
We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To do this, we decompose any loan into an unsecured and asecured part. Further we explicitly consider the recovery process. The framework allows usto develop semi-analytical...
Persistent link: https://www.econbiz.de/10005868725
There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June 1999 the Basel Committee calls for capital charges for operational risks as a component of Pillar one...
Persistent link: https://www.econbiz.de/10005857015
Praktiker wie Akademiker setzen sich im Allgemeinen mit Finanzrisiken vertieft auseinander und vernachlässigen dabei die übrigen Risiken. Damit geht ein unnötiger Wertverzehr einher...
Persistent link: https://www.econbiz.de/10005857042
integrate the significant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …
Persistent link: https://www.econbiz.de/10005858102