Many analysts believe that problems in the United States housing market initiated the 2007-2009global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundationsof the financial industry by causing the failure of many iconic Wall Street investment banks...

The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright....

South Africa will be implementing Basel II on 1 January 2008. Basel II provides regulatory capital requirements for credit risk, market risk and operational risk. The purpose of capital requirements is to level the playing field for all internationally active banks and to protect consumers...

This paper deals with the proposed use of sovereign credit ratings in the Basel Accord on Capital Adequacy (Basel II) and considers its potential effect on emerging markets financ-ing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of...

Banks using advanced VaR models are expected to hold in a lower amount subject to market risk (ASMR) than banks using simple VaR models because of measuring their risk relatively more accurately. The purpose of this study is to test the hypothesis that advanced VaR models which measures risks...

Measuring, controlling and managing operational risk have played an important role for bank industry endeavors since the publication of Basel II (2006) as the regulatory framework for the effective management and supervision of financial risks. More recently, due to the current financial crisis,...

The exposure of the argentine banking system to real interest rate changes is material and discourages long term credit. Quantification of this risk would help to manage it and may promote new credit, although it is not an easy job, especially in emerging markets. This paper proposes a Value at...

We claim that we currently live in a banking regulatory bubble.We review how: i) banking intermediation theory hinges on dealing with borrower-lender asymmetry of information; ii) instead, the presence of complete information is keystone of finance theory. Next, we document how finance theory...

Purpose – The purpose of this paper is to focus on the “Basel Illusion”, the belief that a model-driven quantitative approach to capital adequacy can lead to a more robust and shock-proof system. The author analyzes the Basel framework and its role as a major source of systemic risk....

Using supervisory data for U.S. banks, we evaluate the alignment of Basel II/III AIRB (advanced internal ratings based) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct market-based measures. Our results document that AIRB...