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Modelling risk-weighted assets: looking beyond stress tests
Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2023
Persistent link: https://www.econbiz.de/10014447400
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Modelling risk-weighted assets : looking beyond stress tests
Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2024
We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank portfolios and thus aims to provide more accurate estimations...
Persistent link: https://www.econbiz.de/10014495257
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios - In: The journal of credit risk : published quarterly by … 15 (2019) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
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Concentration risk model for Greek bank's credit portfolio
Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10010252215
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Credit risk capital estimation under IRB approach for banks in India
Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500
Persistent link: https://www.econbiz.de/10012418500
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
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Tightening regulation has only a limited impact on loan margins
Haajanen, Jyrki; Putkuri, Hanna; Vauhkonen, Jukka - In: Bank of Finland bulletin (2015) 2, pp. 82-85
Persistent link: https://www.econbiz.de/10012040839
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Testing for the underlying dynamics of bank capital buffer and performance nexus
Bagntasarian, Anachit; Mamatzakis, Emmanuel C. - In: Review of quantitative finance and accounting 52 (2019) 2, pp. 347-380
Persistent link: https://www.econbiz.de/10012171611