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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 interest margins by using the Value at Risk...
Persistent link: https://www.econbiz.de/10010188012
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Non-performing loans, systemic risk and resilience in financial networks
Bottazzi, Giulio; Sanctis, Alessandro de; Vanni, Fabio - 2016
After the outbreak of the financial crisis in 2007-2008 the level of non-performing loans (NPLs) in the economy has generally increased. However, while in some countries this has been a transitory phenomenon, in others it still represents a major threat for economic recovery and financial...
Persistent link: https://www.econbiz.de/10011436618
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
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Reverse Stress Testing Interbank Networks
Grigat, Daniel - 2017
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in...
Persistent link: https://www.econbiz.de/10012961835
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Stress-Testing of Liquidity Risk in Target2
Papsdorf, Patrick - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study having been conducted by an ad-hoc group composed of operators and overseers of TARGET2. The study aims to assess the resilience of the system, defined as the network of its...
Persistent link: https://www.econbiz.de/10012962520
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Restructuring Counterparty Credit Risk
Albanese, Claudio - 2016
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10012988783
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Back-Testing of Expected Shortfall : Main Challenges and Methodologies
Brie, Leonard - 2018
from a Value-at-Risk (VaR) computation to an Expected Shortfall (ES) evaluation.The many advantages of an ES measure are …-tested. Therefore, after recalling the context around the VaR and ES models, this white paper will review ES back-testing findings and … this paper also show that even though the ES97.5% metric is close to a VaR99,9% metric, it is not as easily back-tested as …
Persistent link: https://www.econbiz.de/10012919835
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The Role of Model Uncertainty in Corporate Risk Management
Gamba, Andrea - 2020
Current corporate risk management theories predict that young firms should hedge more than the established ones. However, the claim is not supported by empirical observations, which also present mixed evidence on whether hedging creates value. This paper attempts to address this puzzle by...
Persistent link: https://www.econbiz.de/10012832215
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10009739564
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study having been conducted by an ad-hoc group composed of operators and overseers of TARGET2. The study aims to assess the resilience of the system, defined as the network of its...
Persistent link: https://www.econbiz.de/10011627053