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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...
Persistent link: https://www.econbiz.de/10010298775
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Macroeconomic, Institutional and Bank-Specific Determinants of Non-Performing Loans in Emerging Market Economies: A Dynamic Panel Regression Analysis
Bayar, Yilmaz - In: Journal of Central Banking Theory and Practice 8 (2019) 3, pp. 95-110
, institutional, and bank-specific factors behind nonperforming banking loans as an indicator of banking sector functioning in …
Persistent link: https://www.econbiz.de/10012217922
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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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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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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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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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Improving donor support for urban poverty reduction
Banks, Nicola - 2011
The growing urbanization of poverty poses a significant challenge to governments and donors alike, particularly in Asia, which houses 60 per cent of the world's slum dwellers. Donors have been slow to respond to the urban challenge, however, both in their funding patterns and their priorities....
Persistent link: https://www.econbiz.de/10010280168
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Deepening Intraregional Trade and Investment in South Asia: The Case of the Textiles and Clothing Industry
Tewari, Meenu - 2008
This paper draws on recent field work within South Asia and an extensive review of secondary data to examine the dynamics of cross border trade and investment in South Asia, exploring the potential for, and obstacles to, such trade through the lens of a sector that is salient throughout South...
Persistent link: https://www.econbiz.de/10011807619
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Regional Economic Integration and FDI in South Asia : Prospects and Problems
Aggarwal, Aradhna - 2008
The slow progress and modest achievements of regional integration in South Asia have generated a huge amount of skepticism about its role as an effective strategy of growth. The present study, however, argues that there is need to forge deeper integration within the region. It examines the...
Persistent link: https://www.econbiz.de/10011807624