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Conservative stress testing: The role of regular verification
Geršl, Adam; Seidler, Jakub - 2010
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
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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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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10011605087
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Do specialization benefits outweigh concentration risks in credit portfolios of German banks?
Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010
Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...
Persistent link: https://www.econbiz.de/10010303636
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of …
Persistent link: https://www.econbiz.de/10010316304
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Stress testing of the Czech banking sector
Jakubík, Petr; Heřmánek, Jaroslav - 2008
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
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
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
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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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Do better capitalized banks lend less? Long-run panel evidence from Germany
Buch, Claudia M.; Prieto, Esteban - 2012
of increased bank capital in terms of reduced loans could be substantial, there are good reasons to believe that the … between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of … the German economy for the past 60 years. We find no evidence for a negative impact of bank capital on business loans. …
Persistent link: https://www.econbiz.de/10010309227
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Do better capitalized banks lend less? Long-run panel evidence from Germany
Buch, Claudia M.; Prieto, Esteban - 2012
of increased bank capital in terms of reduced loans could be substantial, there are good reasons to believe that the … between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of … the German economy for the past 60 years. We find no evidence for a negative impact of bank capital on business loans. …
Persistent link: https://www.econbiz.de/10010283577