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The new Basel accord and the nature of risk : a game theoretic perspective
Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007
- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10003481314
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Basel II und internes Rating : ökonomische Analyse der Regelungen zur Kreditvergabe an Unternehmen der Neuen Basler Eigenkapitalvereinbarung in der Version vom Januar 2001
Humpert, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001820963
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Incentive-based lending capacity, competition, and regulation in banking
Chiesa, Gabriella - In: Journal of financial intermediation 10 (2001) 1, pp. 28-53
Persistent link: https://www.econbiz.de/10001567410
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Bank runs, prudential tools and social welfare in a global game general equilibrium model
Ikeda, Daisuke - In: Journal of financial stability 72 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014565088
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Three essays on banking
Vlahu, Razvan Eduard - 2011
Persistent link: https://www.econbiz.de/10008905606
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
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Optimal stress tests and liquidation cost
Gu, Jiadong - In: Journal of economic dynamics & control 146 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014478165
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Liquidity requirements : a double-edged sword
König, Philipp Johann - In: International journal of central banking : IJCB 11 (2015) 4, pp. 129-168
Persistent link: https://www.econbiz.de/10011628161
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Regulatory competition and multi-national banking
Dalen, Dag Morten; Olsen, Trond E. - 2003
This paper focuses on the consequences of cross-border banking and entry of multi-national banks (MNBs) for banking supervision and regulation. When a MNB expands internationally with subsidiaries, the MNB operates under the legislation of several countries - both the home country and the host...
Persistent link: https://www.econbiz.de/10001772795
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Liquidity and capital requirements and the probability of bank failure
König, Philipp Johann - 2010
Using the model of Rochet and Vives (2004), this note shows that a prudential regulator can in general not mitigate a bank’s failure risk solely by means of liquidity requirements. However, their effectiveness can be restored if, in addition, minimum capital requirements are met. This provides...
Persistent link: https://www.econbiz.de/10003973628