Narrow search
Showing 1 - 10 of 4,563
Cover Image
Incremental Risk Charge Methodology
Xiao, Tim - 2014
The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte...
Persistent link: https://www.econbiz.de/10013055237
Cover Image
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
Cover Image
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
Cover Image
Loss Given Default for Commercial Loans at Failed Banks
Shibut, Lynn - 2016
relationship between LGD and default date, workout period, loan modification, asset size, bank characteristics, geography, lien …
Persistent link: https://www.econbiz.de/10013002186
Cover Image
Financial market regulation in Germany under the special focus of capital requirements of financial institutions
Detzer, Daniel - 2014
This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...
Persistent link: https://www.econbiz.de/10010256881
Cover Image
Changes in Basel capital requirements and lending ability of African commercial banks
Oyetade, Damilola; Obalade, Adefemi Alamu; Muzindutsi, … - In: Journal of central banking theory and practice 11 (2022) 3, pp. 179-201
This research examines the potential impact of Basel IV capital requirements (CAR) on bank lending ability in Africa … results suggest that higher Basel CAR, particularly the new Basel IV, portends short-term negative impacts on bank lending … while the long-term impact on bank lending is favorable. Second, the weight of non-performing loans tends to decline as …
Persistent link: https://www.econbiz.de/10013407522
Cover Image
Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper
Pausch, Thilo - 2013 - First draft
regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were …
Persistent link: https://www.econbiz.de/10010344667
Cover Image
Countdown for the New Basle Capital Accord : are German banks ready for the internal ratings-based approach?
Ewert, Ralf; Szczesny, Andrea - 2001
This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute...
Persistent link: https://www.econbiz.de/10009767690
Cover Image
Unexpected loan losses and bank capital in an estimated DSGE model of the Euro area
Hristov, Nikolay; Hülsewig, Oliver - 2016
conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …
Persistent link: https://www.econbiz.de/10011557772
Cover Image
Estimating Probability of Default and Comparing It to Credit Rating Classification by Banks
Volk, Matjaz - 2013
Credit risk is the main risk in the banking sector and is as such one of key issues for financial stability. We estimate various PD models and use them in the application to credit rating classification. Models include firm specific characteristics and macroeconomic or time effects. By linking...
Persistent link: https://www.econbiz.de/10013090960