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requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference …-in-differences setup featuring partial US implementation relative to full EU adoption, we find that the introduction of operational risk …
Persistent link: https://www.econbiz.de/10012418359
The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to project losses under stress scenarios. In this paper, we propose multiple benchmarks for operational loss projections and document the industry distribution relative to these...
Persistent link: https://www.econbiz.de/10012181176
The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the … Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under … stressed scenarios. As a result, banks subject to these rules have measured and managed operational risk more rigorously. But …
Persistent link: https://www.econbiz.de/10011578378
Operational risk is being considered as an important risk component for financial institutions as evinced by the large … sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the … purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation …
Persistent link: https://www.econbiz.de/10003347297
risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …
Persistent link: https://www.econbiz.de/10008906569
We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …
Persistent link: https://www.econbiz.de/10011826077
conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …
Persistent link: https://www.econbiz.de/10012887890
-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …
Persistent link: https://www.econbiz.de/10012594975
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …
Persistent link: https://www.econbiz.de/10010344866
risk; if such regulation also reduces systemic risk, the benefits are even larger. September 27, 2018, revised January 23 …
Persistent link: https://www.econbiz.de/10011925841