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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010326135
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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326358
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The New Basel Accord: Implications of the Co-existence between the Standardized Approach and the Internal Ratings-based Approach
Rime, Bertrand - 2003
We examine the prudential implications of the co-existence between the standardized approach and the internal ratings-based (IRB) approach, as defined in the new Basle Accord. We consider a model in which sophisticated banks, eligible for the IRB approach, and unsophisticated banks, eligible for...
Persistent link: https://www.econbiz.de/10011430044
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Regulation, credit risk transfer, and bank lending
Pausch, Thilo; Welzel, Peter - 2011
behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …
Persistent link: https://www.econbiz.de/10010291748
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Preconditions for a successful implementation of supervisors' prompt corrective action: Is there a case for a banking standard in the European Union?
Nieto, María J.; Wall, Larry D. - 2006
Over the past years, several countries around the world have adopted a system of prudential prompt corrective action (PCA). The European Union countries are being encouraged to adopt PCA by policy analysts who explicitly call for its adoption. To date, most of the discussion on PCA has focused...
Persistent link: https://www.econbiz.de/10010292333
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Predicción de problemas de crisis y continuidad en empresas bancarias
Mariaca, René - 2002
Con el objetivo de generar un modelo predictor de situaciones de crisis en base a los ratios de capital, se aplicaron las técnicas de Discriminante y Regresión Logística a los ratios de capital de los bancos del sistema bancario boliviano, llegando a la conclusión que los ratios mencionados...
Persistent link: https://www.econbiz.de/10010294145
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Operational risk mangement and implications for bank's economic capital - a case study
Chalupka, Radovan; Teplý, Petr - 2008
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches …
Persistent link: https://www.econbiz.de/10010322249
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Conservative stress testing: The role of regular verification
Geršl, Adam; Seidler, Jakub - 2010
on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress …
Persistent link: https://www.econbiz.de/10010322250
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Basel III and Systemic Risk Regulation - What Way Forward?
Georg, Co-Pierre - 2011
One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs). The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework...
Persistent link: https://www.econbiz.de/10010334491
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The determinants of bank capital structure
Gropp, Reint E.; Heider, Florian - 2009
deposits towards non-deposit liabilities. We find that unobserved time-invariant bank fixed effects are ultimately the most … important determinant of banks’ capital structures and that banks’ leverage converges to bank specific, time invariant targets. …
Persistent link: https://www.econbiz.de/10011605142