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Does IFRS 9 increase banks' resilience?
Kund, Arndt-Gerrit; Rugilo, Daniel - 2023
analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … bank resilience through lower capital levels. In the absence of archival data of IFRS 9 and their potential biases due to …IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper …
Persistent link: https://www.econbiz.de/10014230334
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Stress Tests and Capital Requirement Disclosures : Do They Impact Banks' Lending and Risk-Taking Decisions?
Konietschke, Paul; Ongena, Steven; Ponte Marques, Aurea - 2022
corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …
Persistent link: https://www.econbiz.de/10013403421
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Stress tests and capital requirement disclosures : do they impact banks' lending and risk-taking decisions?
Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022
corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …
Persistent link: https://www.econbiz.de/10013277156
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A comprehensive view on risk reporting : evidence from supervisory data
Abbassi, Puriya; Schmidt, Michael - 2018
that supervision should include a comprehensive view of different bank risk dimensions. …
Persistent link: https://www.econbiz.de/10011826077
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The Impact of IRB Approach on the Credit Risk Exposure Under Basel II
Shimizu, Katsutoshi - 2014
This paper empirically investigates the impact of internal ratings-based (IRB) approach on the risk weight under Basel II. Assuming increasing cost of raising new capital when the requirement constraint is violated, this paper estimates the difference of unknown risk weight parameters between...
Persistent link: https://www.econbiz.de/10013065748
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Measuring Capital Adequacy Supervisory Stress Tests in a Basel World
Wall, Larry D. - 2015
credit and interest rate risk, the way it measures bank capital, and the way it creates countercyclical capital buffers …
Persistent link: https://www.econbiz.de/10013026153
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Measuring capital adequacy supervisory stress tests in a Basel world
Wall, Larry D. - 2013
credit and interest rate risk, the way it measures bank capital, and the way it creates countercyclical capital buffers …
Persistent link: https://www.econbiz.de/10010209131
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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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Advancements in stress-testing methodologies for financial stability applications
Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024
European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST …
Persistent link: https://www.econbiz.de/10014530302
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963