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A model of mortgage losses and its applications for macroprudential instruments
Hott, Christian - In: Journal of Financial Stability 16 (2015) C, pp. 183-194
We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced...
Persistent link: https://www.econbiz.de/10011208762
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Kausalität in den Wirtschaftswissenschaften: Welche Ursachen hat die Finanzkrise?
Bernholz, Peter; Faber, Malte; Petersen, Thomas - Alfred-Weber-Institut für Wirtschaftswissenschaften, … - 2009
Die Frage nach der Kausalität fällt in die Methodologie. Methodologie ist in den Wirtschaftswissenschaften ein Bereich, der sowohl bei Ökonomen als auch bei Philosophen kaum Beachtung findet. Ökonomik hat sich ursprünglich als eine kausal erklärende Wissenschaft verstanden. Sie wollte für...
Persistent link: https://www.econbiz.de/10008577824
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South Africa; Financial System Stability Assessment, Including Report on the Observance of Standards and Codes on the following topic: Securities Regulation
International Monetary Fund (IMF); International … - 2008
This paper discusses the Financial System Stability Assessment for South Africa, and reviews the Report on the Observance of Standards and Codes on Securities Regulation. The assessment reveals that South Africa’s sophisticated financial system is fundamentally sound and has so far...
Persistent link: https://www.econbiz.de/10011244235
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Denmark; Financial Sector Assessment Program: Technical Note: Stress Testing
International Monetary Fund (IMF); International … - 2007
, credit risk could materialize, causing a substantial deterioration in banks’ results. …
Persistent link: https://www.econbiz.de/10011244479
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Jamaica; Financial System Stability Assessment, including Reports on the Observance of Standards and Codes on the following topics: Basel Core Principles for Effective Banking Supe...
International Monetary Fund (IMF); International … - 2006
This paper discusses key findings of the Financial System Stability Assessment on the Basel Core Principles for Effective Banking Supervision, the Committee for Payment and Settlement Systems (CPSS) Core Principles for Systemically Important Payment Systems, and IMF Monetary and Financial Policy...
Persistent link: https://www.econbiz.de/10011244726
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Czech Republic; Detailed Assessment of Observance of Basel Core Principles for Effective Banking Supervision
International Monetary Fund (IMF); International … - 2012
This paper presents detailed assessment of the Czech Republic’s compliance with Basel Core Principles (BCPs) for effective banking supervision. Many earlier weaknesses have been addressed, either through domestic measures or by implementing European Union-wide rules and regulations. An...
Persistent link: https://www.econbiz.de/10011244986
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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El Influjo de Cartera Vencida como Medida de Riesgo de Crédito: Análisis y Aplicación al Caso de Chile
Andres Sanger T. - In: Revista de Analisis Economico – Economic Analysis Review 27 (2012) 1, pp. 27-54
-performing loans adjusted by write-offs and standardized by loans, as the main measure to be used for modelling the credit risk of the … respect to loan loss provisions (LLP), which support this idea. First, the INPL ratio by type of credit has a greater time … inflation rate, the peso-dollar exchange rate, and non expected credit growth. Finally, the out-of-sample forecasts indicate …
Persistent link: https://www.econbiz.de/10010548964
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Legally scored
Chan, Wen Li; Seow, Hsin-Vonn - In: Journal of Financial Regulation and Compliance 21 (2013) February, pp. 39-50
Purpose – Achieving equal treatment of credit applicants has been a legitimate concern of legislators and the credit … most effective use of credit scoring models, and could run counter-intuitive to the intention of legislation through … legislation and also retains the integrity and effectiveness of credit scoring models. Design/methodology/approach – The paper …
Persistent link: https://www.econbiz.de/10010610634
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Assessing the model risk with respect to the interest rate term structure under Solvency II
Martin, Michael - In: Journal of Risk Finance 14 (2013) May, pp. 200-233
introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and … considerable underestimation of credit risk in the Solvency II model. Originality/value – The aim of this paper is to assess model …
Persistent link: https://www.econbiz.de/10010691543