We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

Marktpreisrisiken in Frage gestellt. Die Kreditrisiken einer Bank implizieren bonitätsinduzierte Marktpreisrisiken und bankspezifische …

and interbank rate risk on the optimaldecisions on deposits and loans of a competitive bank. It is found that dueto the … bank's behavior.Moreover, it is shown that there is an interaction between the effects of theintroduction of risk and … economies or diseconomies of scope in the bank?sbusiness which determines the extend of behavioral changes. …

This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We … that the market factor clearly dominates in explaining bank returns, followed by the Fama-French factors. The bank … tend to load in the same direction on the first component. Relative to the returns of large firms in other sectors, bank …

In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is … value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at …

volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a … bank. Using a dynamic panel model estimated by GMM for a mixed sample of more than 1500 banks from 65 countries, we find no … evidence of persistence in bank growth. However, our findings suggest significant persistence in bank profitability. Moreover …

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

banks (for example Riksbank and Norges Bank) are using the BIS methodology plus other (regular and specific) statistical …

address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …