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An increase in the credit rating on an organisation?s debt is generally perceived positively, as higher credit ratings are, in the main, associated with lower perceived volatility in the market value of the assets of the entity that has issued the debt. If banks price their assets to realise a...
Persistent link: https://www.econbiz.de/10009481958
The study of financial stability has become the cornerstone of modern macroeconomic policy particularly for developed countries. The recent global financial crisis has underscored the importance of understanding financial instability especially in the context of managing credit risk with...
Persistent link: https://www.econbiz.de/10009481985
This study investigates the efficiency and productivity of a balanced panel of 10 Australian banks during the period 1995-2005. It begins with a preliminary analysis based on financial indicators (popularly referred to as financial ratios) covering aspects of profitability, operational...
Persistent link: https://www.econbiz.de/10009482028
In June 2004 the Committee published a revised framework for the international convergence of capital measurement and capital standards, known as Basel II. The proposal includes a formal capital charge against operational risk in the business activities of banks. The calculation of an...
Persistent link: https://www.econbiz.de/10009482032
One of the reasons for firms decentralising aspects of their operations is to enable managers to gain specialised knowledge of local conditions. For credit managers in a banking firm, this may take the form of knowledge of investment opportunities and the risk profiles of each of these...
Persistent link: https://www.econbiz.de/10009482097
In 1987 Lopes developed Security/Potential, Aspiration (SP/A) Theory, a framework for risky choice under uncertainty. Similar to Prospect Theory, SP/A Theory seeks to combine the forces of Economics and Psychology. This means that the assumption that individuals make choices based on expected...
Persistent link: https://www.econbiz.de/10009482111
The role of economic capital has grown significantly in recent years. Although not a regulatory requirement, an increasing number of financial institutions use economic capital for such purposes as measuring and managing the performance of people, products, risk exposures, and to manage and...
Persistent link: https://www.econbiz.de/10009482154
A large body of the literature argues that the soundness of financial system is largely determined by the economic and institutional environment in which the financial system works. Drawing on this theoretical underpinning, research in this thesis models financial soundness indicators (FSIs)...
Persistent link: https://www.econbiz.de/10009482161
All banks must hold capital equal to the minimum regulatory requirement. However, in many cases the level of regulatory capital diverges from the actual (economic) capital held by banks. A bank's actual capital is typically linked to a target credit rating, which is in turn determined by the...
Persistent link: https://www.econbiz.de/10009482211
Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology for measuring the likelihood of operational risk losses that have a very low probability of occurrence, but which have the potential for catastrophic outcomes in terms of...
Persistent link: https://www.econbiz.de/10009482233