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of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation …
Persistent link: https://www.econbiz.de/10010325499
We shed light on the function, properties and optimal size of austerity using the standard sovereign debt model augmented to include incomplete information about credit risk. Austerity is defined as the shortfall of consumption from the level desired by a country and supported by its repayment...
Persistent link: https://www.econbiz.de/10011430112
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
This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...
Persistent link: https://www.econbiz.de/10010322230
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
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of …
Persistent link: https://www.econbiz.de/10010316304
lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …
Persistent link: https://www.econbiz.de/10010308265
analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets …, clean development mechanism in China: regional distribution and prospects, design and implementation of a Web …
Persistent link: https://www.econbiz.de/10010326266
Volksrepublik China gewinnen neben einigen kleineren asiatischen Schwellenländern eine zunehmende Bedeutung im globalen … insbesondere die internationale Vernetzung des südkoreanischen Innovationssystems deutlich verbessern soll. Die VR China hat erst … China acquire an increasing importance in the global location competition besides some smaller Asian threshold economies …
Persistent link: https://www.econbiz.de/10010377829
issue of growing importance throughout Asia. This is especially true in East Asia and Southeast Asia where the demographic …'s Republic of China, Indonesia, Republic of Korea, Malaysia, Philippines, Singapore, Thailand, and Viet Nam; diagnoses the …
Persistent link: https://www.econbiz.de/10010507258