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Forward-looking tail risk exposures at US Bank Holding Companies
Knaup, Martin; Wagner, Wolf - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 35-54
Persistent link: https://www.econbiz.de/10009714851
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Are banks forward-looking in their loan loss provisioning? : evidence from the Senior Loan Officer Opinion Survey (SLOOS)
Balasubramanyan, Lakshmi; Zaman, Saeed; Thomson, James B. - 2013
Persistent link: https://www.econbiz.de/10010199101
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Macroeconomic approach to point in time probability of default modeling : IFRS 9 challenges
Đurović, Andrija - In: Journal of central banking theory and practice 8 (2019) 1, pp. 209-233
This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance with IFRS 9. The framework rests on "term structure of probability of default" conditional to given forward-looking macroeconomic dynamics. Due to the one of the biggest...
Persistent link: https://www.econbiz.de/10011965251
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Evidence of forward-looking loan loss provisioning with credit market information
Balasubramanyan, Lakshmi; Thomson, James B.; Zaman, Saeed - In: Journal of financial services research : JFSR 52 (2017) 3, pp. 191-223
Persistent link: https://www.econbiz.de/10011777451
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Insights into credit loss rates : a global database
Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023
Persistent link: https://www.econbiz.de/10014329176
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Insights into credit loss rates : a global database
Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023
Persistent link: https://www.econbiz.de/10014284871
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Back to the basics in banking? A micro-analysis of banking system stability
De Jonghe, Olivier - 2009
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of … financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks … probability of a sharp decline in a bank’s stock price conditional on a crash in a banking index. Subsequently, the impact of (the …
Persistent link: https://www.econbiz.de/10011506687
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On regulatory responses to the recent crisis : an assessment of the Basel market risk framework and the Volcker Rule
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Financial markets, institutions & instruments 24 (2015) 2/3, pp. 87-125
Persistent link: https://www.econbiz.de/10011316632
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A comparison of the original and revised Basel market risk frameworks for regulating bank capital
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 249-268
Persistent link: https://www.econbiz.de/10009708765
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Credit valuation adjustment tail risk and the impact of wrong way trades
Skoglund, Jimmy; Vestal, Doug; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 280-310
Persistent link: https://www.econbiz.de/10010197071