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How to back-test operational risk: an empirical basic analysis
Feria-Dominguez, Jose Manuel; Jimenez-Rodriguez, Enrique J. - In: Journal of Financial Transformation 35 (2012), pp. 81-90
Measuring, controlling and managing operational risk have played an important role for bank industry endeavors since … Internal Operational Losses Database (IOLD) provided by a medium-sized Spanish savings bank. For this purpose, we calculate …
Persistent link: https://www.econbiz.de/10010991645
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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...
Persistent link: https://www.econbiz.de/10005198022
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Economie des risques : les limites de la mathématisation
Bouleau, Nicolas - HAL - 2011
La crise financière 2007-2008 a suscité une profusion de réactions et d'explications : on a évoqué le mimétisme des organismes, la cupidité de leurs dirigeants, la propension des traders à aimer le jeu. Elle est évidemment due à la conjonction de plusieurs facteurs. Nous mettons ici...
Persistent link: https://www.econbiz.de/10010820584
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Is the Bank Merger Wave of the 1990s Efficient?
Calomiris, Charles W.; Karceski, Jason - American Enterprise Institute
This book discusses banking, insurance, and securities regulation, as well as issues in consumer finance and electronic commerce.
Persistent link: https://www.econbiz.de/10010949248
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Bailouts and longer term refinancing operations (LTROs): when temporary cures generate longer term economic concerns
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2012
It is increasingly becoming apparent to domestic and international investors that the European Central Bank’s bond … buying programme which commenced in May 2010, “a way of correcting market dislocations that were hampering the central bank …
Persistent link: https://www.econbiz.de/10011261075
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Bank capital management: International evidence
De Jonghe, Olivier; Öztekin, Özde - In: Journal of Financial Intermediation 24 (2015) 2, pp. 154-177
We examine the dynamic behavior of bank capital using a global sample of 64 countries during the 1994–2010 period …
Persistent link: https://www.econbiz.de/10011264239
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BASEL III: responses to consultative documents, vital aspects of the consultative processes and the journey culminating in the present framework (Part 1)
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2010
banks are capable of absorbing losses in the event that a bank is unable to support itself in the private market.” Amongst … constitutes a means whereby losses could still be absorbed in the event that a bank is unable to support itself in the private …
Persistent link: https://www.econbiz.de/10009246895
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The Impact of the Basel III Liquidity Regulations on the Bank Lending Channel: A Luxembourg case study
Giordana, Gaston; Schumacher, Ingmar - Central Bank of Luxembourg - 2011
the Net Stable Funding Ratio (NSFR), on the bank lending channel in Luxembourg. For this aim we built, based on individual … bank data, time series of the LCR and NSFR for a sample of banks covering between 82% and 100% of total assets of the … extend the existing literature on the identification of the bank lending channel by adding as banks characteristics the …
Persistent link: https://www.econbiz.de/10009283380
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Basel III – responses to consultative documents, vital aspects of the consultative processes and the journey culminating in the present framework (Part 1)
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2011
Parts I and II of this paper are aimed at providing a comprehensive overview of, and responses to, four very vital components of the consultative processes which have contributed to the new framework known as Basel III. The papers will approach these components in the order of the consultative...
Persistent link: https://www.econbiz.de/10009283808
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Issues in Private-Sector Finance in Israel
Hemmings, Philip - Economics Department, Organisation de Coopération et … - 2011
The 2008-09 global financial crisis did not result in the failure of any major financial institution in Israel, but it did reveal vulnerabilities in the non-banking sector . particularly in the corporate-bond market. Conservative regulation of the banking sector helped this segment avoid a...
Persistent link: https://www.econbiz.de/10009386332