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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
concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …
Persistent link: https://www.econbiz.de/10012622472
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The impact of transitory climate risk on firm valuation and financial institutions : a stress test approach
Schult, Alexander; Müller, Sebastian; Friedl, Gunther; … - In: Schmalenbach journal of business research : SBUR 76 (2024) 1, pp. 63-111
.6$$percentage points for key regulatory capital ratios in the most adverse scenario while only addressing 36% of the bank's total …
Persistent link: https://www.econbiz.de/10014551027
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Do Banks’ Internal Basel Risk Estimates Reflect Risk?
Barakova, Irina - 2014
Using supervisory data for US banks, we evaluate the alignment of Basel II/III AIRB (Advanced Internal Ratings Based) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct market-based measures. Our results document that loan...
Persistent link: https://www.econbiz.de/10013064709
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Risk Management and Capital Adequacy of Islamic Bank; Should IFSB Standard be Based on Basel?
Affandi, Muchammad Taufiq - 2020
Risk management is essential part of health of Islamic Bank (IB) and the health of entire financial market. One … important tools in risk management to avoid the failure of a bank is the capital held by the bank. Understanding the importance …
Persistent link: https://www.econbiz.de/10012829799
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The adoption of stress testing : why the Basel capital measures were not enough
Wall, Larry D. - 2013
The Basel capital adequacy ratios lost credibility with financial markets during the crisis. This paper argues that failure was the result of the reliance of the Basel standards on overstated asset values in reported equity capital. The United States' stress tests were able to assist in...
Persistent link: https://www.econbiz.de/10010209147
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The use of a value at risk measure for the analysis of bank interest margins
Gemzik-Salwach, Agata - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 4, pp. 15-29
The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …
Persistent link: https://www.econbiz.de/10010188012
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...
Persistent link: https://www.econbiz.de/10011346454
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A Study of Risk Management in the United Arab Emirates Banking System
Anderson, John A. - 2010
This research discusses risk management and its importance to the fundamental operation of banks in UAE. It also considers whether the Basel II agreement is still relevant in the current financial crisis, and whether it has helped contribute to the severity of the downturn by creating capital...
Persistent link: https://www.econbiz.de/10013138573
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Financial and Risk Analysis of Swiss Banks and Insurance Companies
Xiao, Yingbin - 2011
Switzerland has a systemically important financial sector. This paper analyzes the financial soundness and risk dynamics of Swiss banks and insurance companies for the past five years. The cross-country comparisons show that despite the recovery in profitability and capital for banks and...
Persistent link: https://www.econbiz.de/10013120250
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Operational Risk Management in the Banking Industry of Ghana
Etu-Menson, Franc - 2011
the only bank that had information on operational risk in 2006 and 2007. The number of words banks used in the disclosure …
Persistent link: https://www.econbiz.de/10013120814