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Does the country's political and economic risks trigger risk-taking behavior in the banking sector : a new insight from regional study

Athari, Seyed Alireza; Irani, Farid - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-10

implications for policymakers and bank managers. …

Persistent link: https://www.econbiz.de/10013492988

An Integrated OTC Derivatives Risk Capital Framework

Lou, Wujiang - 2019

Bilateral derivatives valuation is subject to counterparty credit risk (CCR) in that a counterparty could jump to default or its credit spread could vary over time. In the nomenclature of risk management, the former is called CCR exposure and the later leads to credit valuation adjustment (CVA)....

Persistent link: https://www.econbiz.de/10012898160

Banking firm, equity and value at risk

Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Persistent link: https://www.econbiz.de/10009768157

Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …

Persistent link: https://www.econbiz.de/10010248947

Which Swiss gnomes attract money? : efficiency and reputation as performance drivers of wealth management banks

Birchler, Urs W.; Hegglin, René; Reichenecker, Michael R. - 2016

Swiss private banks, we test the hypothesis that the performance of a bank in attracting new money depends on two input … profit of a small (large) bank. Thus, adding to the explicit fines that many Swiss banks had to pay in the course of the U …

Persistent link: https://www.econbiz.de/10011516046

Market timing, maturity mismatch, and risk management : evidence from the banking industry ; conference paper

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

We investigate financial intermediaries interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman exogeneity tests indicate that both decisions are...

Persistent link: https://www.econbiz.de/10010343773

Interest Rate Risk and Banking Intermediation : An Asset and Liability Management Perspective (Il Rischio di Tasso di Interesse Nell'Economia Degli Intermediari Bancari: Una Prospe...

Scannella, Enzo - 2012

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … interest rates affect a bank's earnings by changing its net interest income and also affect the underlying value of the bank … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …

Persistent link: https://www.econbiz.de/10013112510