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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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Modelling systemically important banks vis-à-vis the basel prudential guidelines
Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20
Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...
Persistent link: https://www.econbiz.de/10012622472
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
Persistent link: https://www.econbiz.de/10013539252
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...
Persistent link: https://www.econbiz.de/10013489714
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
Persistent link: https://www.econbiz.de/10013502371
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A review of individual and systemic risk measures in terms of applicability for banking regulations
Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82
The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...
Persistent link: https://www.econbiz.de/10011452984
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Modelling deposit insurance scheme losses in a Basel 2 framework
De Lisa, Riccardo; Zedda, Stefano; Vallascas, Francesco; … - In: Journal of financial services research : JFSR 40 (2011) 3, pp. 123-141
Persistent link: https://www.econbiz.de/10009532396
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Impact of risk management strategies on the credit risk faced by commercial banks of Balochistan
Ur Rehman, Zia; Muhammad, Noor; Sarwar, Bilal; Raz, … - In: Financial innovation : FIN 5 (2019) 44, pp. 1-13
greatest impact, followed by diversification, which plays a significant role, hedging and, finally, the bank’s Capital Adequacy …
Persistent link: https://www.econbiz.de/10012268503
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Information sharing in bank diversification channels of bank stability in Ghana
Yarso Sarpong, Josephine; Idun, Anthony Adu Asare - In: Cogent business & management 11 (2024) 1, pp. 1-21
income diversification reduces the systemic risk of the Ghanaian banking system. Also, the study found that asset … diversification strategies of the banks have a meaningful effect on bank stability when financial institutions augment their … diversification decisions with information from Credit Scoring Agencies. The implication of the study is that banks which employ the …
Persistent link: https://www.econbiz.de/10014534099