In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches …

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. …

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 …

foreign banks operating in China. This paper evaluates bank performance using a Network DEA approach where an index of risk …

internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal–agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

Ausschusses für Bankenaufsicht u. a. genaue Anforderungen an das Risikomanagement von Banken veröffentlicht (so genannte zweite … Säule von Basel II). In den "Mindestanforderungen an das Risikomanagement" (MaRisk) wurden diese Vorgaben in deutsches Recht … das Risikomanagementsystem einer Bank stellen. Dabei liegt ein besonderer Schwerpunkt auf den Handlungsmöglichkeiten …