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Liquidity stress-tester : a model for stress-testing banks' liquidity risk
End, Jan-Willem van den - In: CESifo economic studies : CESifo, a joint initiative of … 56 (2010) 1, pp. 38-69
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
Persistent link: https://www.econbiz.de/10003944301
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Liquidity stress-tester: do Basel III and unconventional monetary policy work?
End, Jan-Willem van den - 2010
Persistent link: https://www.econbiz.de/10008758061
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The impact of securitization and bank liquidity shocks on bank lending : evidence from the U.S.
Egly, Peter; Jackson, Dave; Johnk, David - In: Banking and finance review 7 (2015) 2, pp. 55-86
Persistent link: https://www.econbiz.de/10011443829
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Assess the impact of asset price shocks on the banking system
Fang-Ying, Yuan - In: Quantitative financial risk management, (pp. 15-28). 2011
Persistent link: https://www.econbiz.de/10009301457
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Liquidity Stress-Tester : A Model for Stress-Testing Banks’ Liquidity Risk
van den End, Jan Willem - 2011
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
Persistent link: https://www.econbiz.de/10013133881
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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …
Persistent link: https://www.econbiz.de/10011890804
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Kreditrisikomessung bei Projektfinanzierungen durch Risikosimulation
Werthschulte, Holger - 2005 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002509291
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Kreditrisikomessung bei Projektfinanzierungen durch Risikosimulation
Werthschulte, Holger - 2005 - Gabler Edition Wissenschaft
Aus Kreditgeberperspektive ist die Abbildung von Kreditrisiken bei Kreditvergabeentscheidungen sowie bei der Überwachung laufender Engagements von großer Bedeutung. Durch die Modifikation der Baseler Eigenkapitalvereinbarungen wird die Ermittlung kreditnehmerspezifischer...
Persistent link: https://www.econbiz.de/10013517423
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Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150
Persistent link: https://www.econbiz.de/10015066737
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Potential risks of liquidity and credit affecting the efficiency of Islamic banks in Bangladesh
Chowdhury, Md. Asad Iqbal; Uddin, Mohammad S.; Ahmmed, Monir - In: Cogent economics & finance 11 (2023) 1, pp. 1-23
credit risk on the efficiency of Islamic banks (IBs) operating in Bangladesh. This paper uses IB's data from 2007 to 2018 and … indicators. Moreover, the Z-score (a bank stability measurement) and number of branches (a measurement of the bank's network …
Persistent link: https://www.econbiz.de/10014500849