This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion...

Logistic regressions are commonly used to assess for fair lending across groups of loan applicants. This paper considers estimation of the disparate treatment parameter when the sample is stratified jointly by loan outcome and race covariate. We use Monte Carlo analysis to investigate the...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

The mutual and cross company exposures to fat-tail distributed risks determine the potential impact of a financial crisis on banks and insurers. We examine the systemic interdependencies within and across the European banking and insurance sectors during times of stress by means of extreme value...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

Indian banking sector is passing through another crucial phase in its evolution with the Reserve Bank of India proposing the formation of holding companies in banking groups. This paper offers an analytical discussion about the proposed financial holding company (FHC) or banking holding company...

There are a number of international initiatives that have the goal of improving or maintaining financial stability by strengthening financial infrastructure. The Committee on Payment and Settlement Systems (CPSS) contributed to this process through its work on developing Core Principles for...

Financial crisis devastating consequences and effects started in 2008, lead to several reactions coming from the most important international organizations and entities. This article aims to present in a logic manner, synthetic, and easily understand why these prudential reactions occurred and...

In the past decades, the banking sector has come to be known in literature as the banking industry as it was geared to increasing profits, banks were growing, and banking products developed dynamically. It was believed that competition in the banking sector makes banks more efficient and...

The authors of the article point out that economic theory has failed to yield a solid theoretical background in critical situations such as the current financial and economic crisis and the transformation of post-communist economies. Mainly the present crisis opens the question of the...