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In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value-at-Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR...
Persistent link: https://www.econbiz.de/10012952232
among depositors or information asymmetries between depositors and bank managers to explain bank runs. This Article provides …
Persistent link: https://www.econbiz.de/10012969729
, we explore the influence of religiosity, institutional factors, and bank-level heterogeneity. We observe that Islamic …
Persistent link: https://www.econbiz.de/10013235684
develops a methodology to detect problems at the individual bank level in an effort to identify those firms with financial … facilitate bank monitoring tasks, as well as some disaggregated subcomponents that are intended to display the relative …
Persistent link: https://www.econbiz.de/10011283443
many of these loans are held by more than one bank. We study differences in banks' estimates of risk parameters used to … parameters affect bank credit supply …
Persistent link: https://www.econbiz.de/10013065553
our assumptions about how banks rebalance their portfolio to respond to the new requirements, demanding that banks modify … their holdings to increase their portfolio diversification may be ineffective in reducing portfolio risk, including tail …
Persistent link: https://www.econbiz.de/10012838336
requirements, demanding that banks modify their holdings to increase their portfolio diversification may mitigate fire …-sale externalities, but may be ineffective in reducing portfolio risk, including tail risk …
Persistent link: https://www.econbiz.de/10012901818
Basel framework for bank's capital adequacy has been criticized for its over reliance on external credit rating … bank from a more holistic point of view. Here, we attain all the above issues and provide a comprehensive framework … regarding bank's capital adequacy and liquidity requirements which is claimed to settle all the aforementioned issues and …
Persistent link: https://www.econbiz.de/10012891898
We examine the roles of information sharing, strength of legal rights and bank size on the procyclical effect of bank …
Persistent link: https://www.econbiz.de/10012936121
observe provisioning practices before and after disclosure becomes mandatory. Our findings suggest that bank managers use loan … pressure and highlights the role of depositors and public pressure in the monitoring of bank managers. We exploit cross …
Persistent link: https://www.econbiz.de/10012826235