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claims valuation techniques to derive implied asset variances from bank equity and deposit insurance, and from risk …-premia for bank subordinated debt. Specifically implied asset variances have been calculated from contingent valuation models and …
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OBS banking activities have grwn rapidly in recent years. The risk-based capital requirements of OBS activities presume thatsome OBS activities expose banks to additional and potentially excessive risk. This study employs Ronn-Verma option pricing methodology to calculate implied asset risk, and...
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improve the transparency of bank operations is particularly relevant for Islamic banks. While product diversity is important …
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In this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given the...
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Bank regulators are concerned with the dramatic increase and risk exposure of Off-Balance Sheet (OBS) banking … systematic risk of large commercial banks and bank holding companies. The underlying premise of this study is that the bank … stockholders and subordinated debtholders are more exposed to the risk of bank failure resulting from OBS banking risk than insured …
Persistent link: https://www.econbiz.de/10012909805