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Banking system stress tests are a key component of IMF/World Bank financial stability assessments.
Persistent link: https://www.econbiz.de/10014439105
Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. We address this...
Persistent link: https://www.econbiz.de/10014439112
Recent proposals have recommended important modifications to the supplemental leverage ratio (SLR) to promote the production of market liquidity and other beneficial banking activities that are alleged to have declined because of the introduction of Basel III capital regulations. A much better...
Persistent link: https://www.econbiz.de/10014439142
In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.
Persistent link: https://www.econbiz.de/10014439143
The Dodd-Frank Act (DFA) Orderly Liquidation Authority (OLA) has many legal issues that could prevent its use. Should there be a next financial crisis, regulators may again be forced to sell a large failing bank to a larger banking institution, creating yet another too-big-to-fail (TBTF)...
Persistent link: https://www.econbiz.de/10014439149
I review 20 years of financial data and highlight important changes in the banking industry. Post financial crisis laws and regulations and new Federal Reserve monetary policies have left a lasting impact on the industry. By 2021, the number of independent depository institutions declined to...
Persistent link: https://www.econbiz.de/10014439155
Prompt Corrective Action (PCA) requires regulators to sanction banks before they become insolvent and to resolve institutions within 90 days of reaching critically undercapitalized status. Forensic studies of the financial crisis conclude that the PCA process not only failed to rehabilitate...
Persistent link: https://www.econbiz.de/10014439176
There was a time when the Federal Reserve believed that honest money—i.e., a stable price level— was essential for achieving full employment. Today, retired Fed officials are recommending that the Federal Open Market Committee (FOMC) target 3-percent inflation. They argue that a 3 percent...
Persistent link: https://www.econbiz.de/10014439186
The efficacy of the Financial Stability Board's proposed requirement for minimum "total loss absorbing capacity" (TLAC) at global systemically important banks (G-SIBs) is assessed using a stylized model of a bank holding company and an equilibrium asset pricing model to value financial claims. I...
Persistent link: https://www.econbiz.de/10014439201
Persistent link: https://www.econbiz.de/10014439219