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Sheridan, Niamh - 2012

The paper finds that, given Australia's conservative approach in implementing the Basel II framework, Australian banks' headline capital ratios underestimate their capital strengths. Given their high capital quality and the progress in their funding profiles since the global financial crisis,...

Persistent link: https://www.econbiz.de/10014395580

A New Heuristic Measure of Fragility and Tail Risks : Application to Stress Testing

Schmieder, Christian - 2012

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …

Persistent link: https://www.econbiz.de/10014395738

Banks in Distress : The Case of Bangladesh

International Monetary Fund - 1990

This paper describes the situation of bank distress which developed in Bangladesh since 1983-84. Since the key problem …

Persistent link: https://www.econbiz.de/10014395886

The Role of the Prudential Supervision and Financial Restructuring of Banks During Transition to Indirect Instruments of Monetary Control

International Monetary Fund - 1996

This paper proposes a stylized sequencing of banking supervision and bank restructuring measures designed to complement … because the initial cost of bank restructuring can be offset, partly, through the budgetary effects of improved enterprise …

Persistent link: https://www.econbiz.de/10014395923

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Fry, Renee - 2002

We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect...

Persistent link: https://www.econbiz.de/10014399584

Bank Risk-Taking and Competition Revisited : New Theory and New Evidence

De Nicoló, Gianni - 2006

can predict a negative relationship between concentration and bank loan-to-asset ratios, and a nonmonotonic relationship … between bank concentration and profitability. We explore these predictions empirically using a cross-sectional sample of about …, loan-to-asset ratios are negatively and significantly related to concentration, and bank profits are positively and …

Persistent link: https://www.econbiz.de/10014399669

Systemic Risk and Financial Consolidation : Are they Related?

De Nicoló, Gianni - 2002

We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99....

Persistent link: https://www.econbiz.de/10014399710

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

Persistent link: https://www.econbiz.de/10014399716

Financial Reforms and Interest Rate Spreads in the Commercial Banking System in Malawi

Chirwa, Ephraim W. - 2002

system in Malawi. The financial reform program commenced in 1989 when both the Reserve Bank Act and the Banking Act were … power, high reserve requirements, high central bank discount rate and high inflation …

Persistent link: https://www.econbiz.de/10014399917

Asymmetric Information and the Market Structure of the Banking Industry

Dell'Ariccia, Giovanni - 1998

The paper analyzes the effects of informational asymmetries on the market structure of the banking industry in a multi-period model of spatial competition. All lenders face uncertainty with regard to borrowers’ creditworthiness, but, in the process of lending, incumbent banks gather...

Persistent link: https://www.econbiz.de/10014399942