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This study investigates determinants of banks’ profitability in Pakistan by using the panel data of 18 banks from the …
Persistent link: https://www.econbiz.de/10011261088
The paper investigates the links between business cycle variables and loan losses of Polish commercial banks. A panel … loan losses between banks can be attributed to differences in business profile, described by classification of banks into … conducted using scenarios generated through the National Bank of Poland's macroeconomic model …
Persistent link: https://www.econbiz.de/10013130701
level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the …
Persistent link: https://www.econbiz.de/10012822183
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523
banks' Tier 1 ratios can differ substantially depending on the credit risk variable and the level of data aggregation … capital level while supervisors rely on different models to quality assure and validate banks' results. More generally, there …
Persistent link: https://www.econbiz.de/10011802741
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011984936
banks' Tier 1 ratios can differ substantially depending on the credit risk variable and the level of data aggregation … capital level while supervisors rely on different models to quality assure and validate banks' results. More generally, there …
Persistent link: https://www.econbiz.de/10011902264
level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the …
Persistent link: https://www.econbiz.de/10013272139
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data … banks, these common factors explain about 26% of the time variation in the loss rate of credit portfolios; for regional … banks, this percentage is less than eight percent. …
Persistent link: https://www.econbiz.de/10010311099
adverse macroeconomic events on the banks credit risks stemming from the corporate sector.The results of the stress tests …
Persistent link: https://www.econbiz.de/10012147917