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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …
Persistent link: https://www.econbiz.de/10011890804
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It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
da Veiga, Bernardo - 2010
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10013149149
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012
Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur …
Persistent link: https://www.econbiz.de/10014016438
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009505637
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Autonomously interacting banks
Lengwiler, Yvan; Maringer, Dietmar G. - 2011
The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely understood how the existing regulation affects...
Persistent link: https://www.econbiz.de/10009305791
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An empirical study on the impact of Basel III standards on banks’ default risk : the case of Luxembourg
Giordana, Gastón Andrés; Schumacher, Ingmar - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-21
simulation exercise suggests that basically all banks would have seen a decrease in their default risk during a crisis episode if …
Persistent link: https://www.econbiz.de/10011669011
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Bank Stress Testing : A Stochastic Simulation Framework
Montesi, Giuseppe - 2015
We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability …
Persistent link: https://www.econbiz.de/10013034691
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Bank Stress Testing : A Stochastic Simulation Framework to Assess Banks’ Financial Fragility
Montesi, Giuseppe - 2018
We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy …
Persistent link: https://www.econbiz.de/10012936094
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Management operationeller Risiken : eine Methode der Modellierung und Simulation von Prozessen in Banken
Hengmith, Lars - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003719605
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Market Risk and Volatility Weighted Historical Simulation after Basel III
Laurent, Jean-Paul - 2018
specification and backtesting. Given the prevalence of historical simulation approach within large financial institutions, we focus … on the Filtered (Volatility Weighted) Historical Simulation (VWHS) approach associated with a EWMA volatility filter … simulation, as compared with filtered or volatility weighed historical simulation. Understanding why, might be helpful for …
Persistent link: https://www.econbiz.de/10012931303