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Bank performance, risk and securitisation
Falzon, Joseph (ed.) - 2013
Persistent link: https://www.econbiz.de/10010220993
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Essays on marketability of loans
Hänsel, Dennis N. - 2007
Persistent link: https://www.econbiz.de/10003751638
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53
Persistent link: https://www.econbiz.de/10010485270
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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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Credit risk measurement : evidence of concentration risk in Polish banks' credit exposures
Nehrebecka, Natalia - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 681-712
Persistent link: https://www.econbiz.de/10012213643
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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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Does the value-at-risk legal framework lead to inaccurate and procyclical risk estimations? : empirical evidence from the eu countries
Vasileiou, Evangelos; Theodoros, Syriopoulos; … - In: The journal of prediction markets 16 (2022) 1, pp. 95-121
Persistent link: https://www.econbiz.de/10014289727
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Investigation on the credit risk transfer effects on the banking stability and performance
Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit …
Persistent link: https://www.econbiz.de/10013435725