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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 risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Persistent link: https://www.econbiz.de/10010305656

Management of FX settlement risk in Hungary (Report II): Payments and securities settlements

Tanai, Eszter - 2008

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...

Persistent link: https://www.econbiz.de/10010322397

Trade in financial services, capital flows, and the value-at-risk of countries

Cornelius, Peter K. - 2000

In light of the recent financial crises in the emerging markets, the coming-into-force of the financial services agreement under the GATS has been considered a success. While the agreement provides for little new liberalization but rather formalizes the status quo, it was feared that governments...

Persistent link: https://www.econbiz.de/10010301752

Climate stress testing

Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023

We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...

Persistent link: https://www.econbiz.de/10014480558

Internal Audit as An Attribute of Management During the Economic Crisis

Susmanschi, Georgiana - In: CES Working Papers 4 (2012) 3, pp. 419-428

Internal audit provides through its tasks reasonable assurance that decisions implemented and on-going objectives are under control. Internal audit has passed from a simple check to a role in assisting management in order to have better control over operations, thus the internal audit function...

Persistent link: https://www.econbiz.de/10012017016

Developing a maturity model for the compliance function of investment firms: A preliminary case study from norway

Holter Antonsen, Helena; Madsen, Dag Øivind - In: Administrative Sciences 11 (2021) 4, pp. 1-34

This paper develops a model for the assessment of the maturity of the compliance function of investment firms. The model indicates a path of evolution wherein the compliance function matures from being reactive and inconsistent to becoming a proactive and integrated part of a firm's business...

Persistent link: https://www.econbiz.de/10014332906

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

Persistent link: https://www.econbiz.de/10010295951

The Future of Banking in CESEE after the Financial Crisis

Gnan, Ernest; Simor, Andras; Schepers, Manfred; Eller, … - 2011

On 23 June 2010, the Magyar Nemzeti Bank and SUERF jointly organised a conference on "The Future of Banking in CESEE after the Financial Crisis", incorporating the SUERF Annual Lecture, delivered by Manfred Schepers, Vice President, Finance at the European Bank for Reconstruction and...

Persistent link: https://www.econbiz.de/10011689947

The implications of derisking: The case of Malta, a small EU state

Grima, Simon; Baldacchino, Peter J.; Abela, Jeremy Mercieca - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-31

In this study, we explore the emerging derisking phenomenon by identifying and analysing the main factors that are affected by, and the implications of, the derisking process by focusing on the key drivers and implications of derisking specific to Malta. To do this, we carried out 32 interviews...

Persistent link: https://www.econbiz.de/10012611419

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