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Risk-adjusted measures of value creation in financial institutions
Milne, Alistair; Onorato, Mario - Suomen Pankki - 2009
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution … appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset … returns. Thus the RAROC hurdle rate should differ substantially between equity which has a right skew and debt which has a …
Persistent link: https://www.econbiz.de/10008509435
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Leveraging regulatory investments with portfolio risk-based pricing
Cartwright, Paul; Sarraf, Hanna - In: Journal of Financial Regulation and Compliance 13 (2005) July, pp. 215-223
In preparing to comply with the new International Financial Reporting Standards and the Basel II Accord's capital adequacy standards, leading banks are leveraging investments in these regulations by applying risk management and capital allocation best practices to adjust pricing decisions. Among...
Persistent link: https://www.econbiz.de/10004987563
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Cyclical implications of minimum capital requirements
Heid, Frank - Deutsche Bundesbank - 2005
Capital requirements play a key role in the supervision and regulation of banks. The Basel Committee on Banking Supervision is now changing the current framework by introducing risk-sensitive capital charges. There have been concerns that this will unduly increase volatility in the banks'...
Persistent link: https://www.econbiz.de/10005082755
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Economic capital for nonperforming loans
Weißbach, Rafael; Wilkau, Carsten Lieres und - In: Financial Markets and Portfolio Management 24 (2010) 1, pp. 67-85
Persistent link: https://www.econbiz.de/10008631329
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Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
Jacobson, Tor; Lindé, Jesper; Roszbach, Kasper - In: Journal of Financial Services Research 28 (2005) 1, pp. 43-75
Persistent link: https://www.econbiz.de/10005810175
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Banking Capital and Operational Risks: Comparative analysis of regulatory approaches for a bank
Medova, Elena A; Ber-Yuen, Pia E.K. - In: Journal of Financial Transformation 26 (2009), pp. 85-96
The nature of operational risk means that although it constitutes a small part of a bank’s risk profile, it includes unexpected events that could potentially cause the collapse of the entire bank. To understand the relationship between economic and regulatory operational risk capital we first...
Persistent link: https://www.econbiz.de/10004981451
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Benchmarking and crosschecking international banking economic and regulatory capital
Simpson, John L.; Evans, John - In: Journal of Financial Regulation and Compliance 13 (2005) February, pp. 65-79
The purpose of this paper is to provide banking regulators with another tool to crosscheck the appropriateness and consistency of levels of capital adequacy for banks. The process begins by examining banking systems and focuses on market risks and the systemic risks associated with growing...
Persistent link: https://www.econbiz.de/10004987614
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Capital regulation and banks' financial decisions
Zhu, Haibin - Bank for International Settlements (BIS) - 2007
This paper develops a stochastic dynamic model to examine the impact of capital regulation on banks' financial decisions. In equilibrium, lending decisions, capital buffer and the probability of bank failure are endogenously determined. Compared to a flat-rate capital rule, a risk-sensitive...
Persistent link: https://www.econbiz.de/10005127684
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A through-the-cycle model for retail lending economic capital
Breeden, Joseph L.; Parker, Robert; Steinebach, Carsten - In: International Journal of Forecasting 28 (2012) 1, pp. 133-138
Problems in the US mortgage industry have shown weaknesses in the standard regulatory and economic capital approaches. Although a significant amount of discussion is occurring around how to segment portfolios or predict key variables in order to better fit the existing formulas, we believe that...
Persistent link: https://www.econbiz.de/10010796141
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The Allocation of Economic Capital in Opaque Financial Conglomerates
Mierzejewski, Fernando - Volkswirtschaftliche Fakultät, … - 2008
The capital structure of firms that face restrictions on liquidity (i.e. that cannot hedge continuously) is affected by the agency costs and moral-hazard implicit in the contracts they establish with stockholders and customers. It is demonstrated in this paper that then an optimal level of...
Persistent link: https://www.econbiz.de/10005789668