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Loan loss provisioning rules, procyclicality, and financial volatility
Agénor, Pierre-Richard; Zilberman, Roy - 2013
Persistent link: https://www.econbiz.de/10009765503
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Does IFRS 9 increase volatility of loan loss provisions?
Pastiranová, Oľga; Witzany, Jiří - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 243-249). 2022
Persistent link: https://www.econbiz.de/10013448499
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Dynamic volatility regulation of financial institutions
Hilscher, Jens; Raviv, Alon; Wiener, Zvi - In: Finance research letters 61 (2024), pp. 1-6
Persistent link: https://www.econbiz.de/10014490771
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Recent regulation in credit risk management : a statistical framework
Ewanchuk, Logan; Frei, Christoph - In: Risks : open access journal 7 (2019) 2/40, pp. 1-19
build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a …
Persistent link: https://www.econbiz.de/10012019298
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Loan loss provisioning rules, procyclicality, and financial volatility
Agénor, Pierre-Richard; Zilberman, Roy - In: Journal of banking & finance 61 (2015), pp. 301-315
Persistent link: https://www.econbiz.de/10011545413
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A volatility-based single parameter Loss Given Default model
Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011306351
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Effects of regulatory policies on bank-specific risk and financial stability
Ludolph, Melina - 2021
Persistent link: https://www.econbiz.de/10013326457
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
parameters, with default intensities estimated from market data and with a random loss given default that is correlated with … between the loss given default and the default times. Our approach describes the market prices better than the standard … ; loss given default …
Persistent link: https://www.econbiz.de/10003871765
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Sustainable profitability in volatile cyclical markets
Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189
Persistent link: https://www.econbiz.de/10012250026
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Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131
Persistent link: https://www.econbiz.de/10009536052