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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 …-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the … appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset …
Persistent link: https://www.econbiz.de/10008509435
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Kreditrisiken - Modellierung und Management: Ein Überblick
Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152
Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...
Persistent link: https://www.econbiz.de/10010984673
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - Bank of England - 2010
Banks often measure credit and interest rate risk separately and then add the two risk measures to determine their overall economic capital. This approach misses complex interactions between the two risks. We develop a framework where credit and interest rate risks are analysed jointly. We focus...
Persistent link: https://www.econbiz.de/10005018055
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - European Central Bank - 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/10005002780
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Near-Coincident Indicators of Systemic Stress
Arsov, Ivailo; Canetti, Elie; Kodres, Laura E.; Mitra, … - International Monetary Fund (IMF) - 2013
The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or...
Persistent link: https://www.econbiz.de/10010790432
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The Present, Future and Imperfect of Financial Risk Management
Alexandra, Carol - Henley Business School, University of Reading - 2003
Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk...
Persistent link: https://www.econbiz.de/10005146615
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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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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
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Economic capital allocation under liquidity constraints
Mierzejewski, Fernando - Volkswirtschaftliche Fakultät, … - 2006
Since the capital structure affects the performance of financial institutions confronted to liquidity constraints, the Economic Capital is determined by the maximisation of value. Allowing economic decisions to be characterised by a distorted probability distribution, so assessing the attitude...
Persistent link: https://www.econbiz.de/10005790336
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Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
Bangia, Anil; Diebold, Francis X.; Schuermann, Til - Financial Institutions Center, Wharton School of Business - 2000
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing...
Persistent link: https://www.econbiz.de/10005794358