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Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
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. …
Persistent link: https://www.econbiz.de/10010305454
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...
Persistent link: https://www.econbiz.de/10010335985
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Bank capital ratios across countries: Why do they vary?
Brewer, Elijah; Kaufman, George G.; Wall, Larry D. - 2008
This paper extends the literature on bank capital structure by modeling capital structure as a function of important … public policy and bank regulatory characteristics of the home country, as well as of bank-specific variables, country …. The results indicate that bank capital ratios are significantly affected in the hypothesized directions by most of the …
Persistent link: https://www.econbiz.de/10010292273
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Wie sollte die Europäische Bankenaufsicht mit unterkapitalisierten Banken verfahren?
Demary, Markus - In: ifo Schnelldienst 66 (2013) 24, pp. 11-14
Markus Demary, Institut der deutschen Wirtschaft Köln, plädiert für eine zweigeteilte Einführung der Bankenunion, für ausreichend kapitalisierte und für unterkapitalisierte Banken. Letztere sollten der EZB Restrukturierungspläne vorlegen, die diese genehmigen muss. Eine Abwicklung sollte...
Persistent link: https://www.econbiz.de/10011693581
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Bank Capital and liquidity creation: Granger causality evidence
Horváth, Roman; Seidler, Jakub; Weill, Laurent - 2012
reduce liquidity creation, but also that greater liquidity creation can have a detrimental impact by reducing bank solvency …
Persistent link: https://www.econbiz.de/10010318422
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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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Banks' regulatory buffers, liquidity networks and monetary policy transmission
Merkl, Christian; Stolz, Stéphanie - 2006
provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank …
Persistent link: https://www.econbiz.de/10010295189
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Sector concentration in loan portfolios and economic capital
Masschelein, Nancy; Düllmann, Klaus - 2006
The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...
Persistent link: https://www.econbiz.de/10010295916