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Capital adequacy rules, catastrophic firm failure, and systemic risk
Jarrow, Robert A. - In: Review of derivatives research 16 (2013) 3, pp. 219-231
Persistent link: https://www.econbiz.de/10010222969
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Two Sides of the Same Coin Insolvency Risk Measurement and Capital Adequacy Rules for Basel III
Gan, Vincent B.Y. - 2017
This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and … integrated measure of risk and capital by disentangling assets, debt and equity; the Firm Insolvency Risk Index (FIRI) that is …
Persistent link: https://www.econbiz.de/10012959099
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Bank interest margin and default risk under Basel III capped Capital Adequacy Accord and regulatory deposit insurance fund protection
Chang, Chuen-Ping; Chen, Shi - In: International journal of financial research 6 (2015) 1, pp. 14-21
Persistent link: https://www.econbiz.de/10011407264
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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
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Sovereign default forecasting in the era of the COVID-19 crisis
Kristóf, Tamás - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24
The COVID-19 crisis has revealed the economic vulnerability of various countries and, thus, has instigated the systematic exploration and forecasting of sovereign default risks. Multivariate statistical and stochastic process-based sovereign default risk forecasting has a 50-year developmental...
Persistent link: https://www.econbiz.de/10012792441
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Credit risk factor modeling and the Basel II IRB approach
Hamerle, Alfred (contributor); Liebig, Thilo (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10002133114
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Credit Risk Factor Modeling and the Basel Ii IRB Approach
Hamerle, Alfred - 2016
Persistent link: https://www.econbiz.de/10012989345
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Does the country's institutional quality enhance the role of risk governance in preventing bank risk?
Quang Khai Nguyen; Dang Van Cuong - In: Applied economics letters 30 (2023) 6, pp. 850-853
Persistent link: https://www.econbiz.de/10013554031