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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - In: Journal of Risk Finance 14 (2013) January, pp. 87-99
and implicit asset correlations for banks and corporates in India and compare it with global scenario. This paper deduces …Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk … their banks to calculate IRB risk weighted assets. Originality/value – These correlation estimates will help the regulators …
Persistent link: https://www.econbiz.de/10010610638
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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - Volkswirtschaftliche Fakultät, … - 2011
estimate default correlation in the credit portfolio of banks. These correlation estimates will help the regulator in India to …Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This … would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for …
Persistent link: https://www.econbiz.de/10009283794
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A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis
Knaup, Martin; Wagner, Wolf - In: Management Science 58 (2012) 8, pp. 1423-1437
We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information …
Persistent link: https://www.econbiz.de/10010990563
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A post-reform assessment of the Indian banking sector: profitability, risk and transparency
Chipalkatti, Niranjan; Rishi, Meenakshi - In: International Journal of Financial Services Management 2 (2007) 1/2, pp. 159-174
This paper critically evaluates the performance of Indian banks by examining quantitative data on bank profitability … the performance of Indian banks with respect to the quality of their disclosures. The assessment indicates deteriorating … for an improvement in the risk management skills of Indian banks and their supervisors. Such practices may necessitate …
Persistent link: https://www.econbiz.de/10010668742
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Integrated Market and Credit Risk Management of Fixed Income Portfolios
Walder, Roger - Swiss Finance Institute - 2002
In this paper, we present an integrated framework for the measurement and management of market and credit risk in fixed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk...
Persistent link: https://www.econbiz.de/10005612043
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United States; Staff Report for the 2012 Article IV Consultation
International Monetary Fund (IMF); International … - 2012
The slow-paced growth rate of the U.S. economy, notwithstanding the bolstering attempts is disheartening. Implementing financial reforms and highly accommodative monetary policy are hoped to have a desired effect. Deficit reduction, debt ratio stabilizing strategies, removal of fiscal cliff...
Persistent link: https://www.econbiz.de/10011244411
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Spain; Financial Sector Reform: First Progress Report
International Monetary Fund (IMF); International … - 2012
The report analyses Spain’s financial sector reform program and throws light on the role that the European Financial Stability Facility (EFSF) played in supporting the restructuring and recapitalization of its financial sector. It stated that the two major areas that have been looked at...
Persistent link: https://www.econbiz.de/10011245135
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Switzerland; 2009 Article IV Consultation: Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Switzerland
International Monetary Fund (IMF); International … - 2009
Switzerland is affected by the global crisis through the stock effect, the flow effect, and the trade effect. Along with a sharp contraction in exports, investments are now being postponed. Consumption has held up well so far, but as unemployment rises, household spending will lose momentum. The...
Persistent link: https://www.econbiz.de/10011242749
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United States; Staff Report for the 2011 Article IV Consultation
International Monetary Fund (IMF); International … - 2011
The U.S. economy continues to recover at a modest pace, in line with international experience following severe financial crises. The key priority for fiscal policy is to stabilize the debt ratio and gradually reduce it. The fiscal framework should include an endorsement of the main medium-term...
Persistent link: https://www.econbiz.de/10011242773
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Malta; 2010 Article IV Consultation-Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Malta
International Monetary Fund (IMF); International … - 2011
Malta weathered the global recession relatively well. Real estate prices and collateral values experienced some correction and appear to have stabilized more recently, but excess supply likely remains in segments of the market. Continued progress with structural reforms will also be important to...
Persistent link: https://www.econbiz.de/10011242813