Showing 1 - 10 of 457
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...
Persistent link: https://www.econbiz.de/10005826656
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10005263928
Persistent link: https://www.econbiz.de/10005616486
Recent work on the political economy of fiscal policy has asked how budgetary institutions affect fiscal outcomes. But what determines the budgetary institutions? In this paper I consider one such institution: the executive veto. A simple theoretical framework predicts that jurisdictions with...
Persistent link: https://www.econbiz.de/10005768732
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10011559141
trend of great values of kurtosis or eccentricity and skewness or asymmetry of series appears as a characteristic tendency …). The skewness, kurtosis and normality of data distribution analysis, using Jarque Bera test, along with the identification …
Persistent link: https://www.econbiz.de/10010860042
We construct a financial vulnerability indicator that is consistent with the theoretical literature on determinants of defaults. It is based on the amount of new foreign financing that is needed to avoid a default or an import adjustment, expressed as a proportion of the country's sources of...
Persistent link: https://www.econbiz.de/10005768797
This paper identifies and describes key features of Caribbean business cycles during the period 1963-2003. In particular, the chronologies in the Caribbean classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend rates of...
Persistent link: https://www.econbiz.de/10005769243