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Stress testing as a tool for simulating the effects of crisis in banks
Wiszniowski, Edward - In: Business and Economic Horizons (BEH) 1 (2010) 1, pp. 58-66
Emergence of crisis in financial markets, especially banks, have forced a change in approach to risk management. It has become necessary to develop new or refine existing models of early bankruptcy threat warning, as well as establishing the potential impact of bank failures. One of the tools,...
Persistent link: https://www.econbiz.de/10008774312
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame … Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial … College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011554963
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Prospects of artificial intelligence and machine learning application in banking risk management
Milojević, Nenad; Redzepagic, Srdjan - In: Journal of central banking theory and practice 10 (2021) 3, pp. 41-57
a whole. The impact of artificial intelligence and machine learning on banking risk management has become particularly … further banking risk management improvement. The paper seeks to explore the possibility for successful implementation yet …
Persistent link: https://www.econbiz.de/10012650890
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Bank risk proxies and the crisis of 2007/09 : a comparison
Noth, Felix; Tonzer, Lena - 2015
Persistent link: https://www.econbiz.de/10011334500
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Prospects of artificial intelligence and machine learning application in banking risk management
Milojević, Nenad; Redzepagic, Srdjan - In: Journal of Central Banking Theory and Practice 10 (2021) 3, pp. 41-57
a whole. The impact of artificial intelligence and machine learning on banking risk management has become particularly … further banking risk management improvement. The paper seeks to explore the possibility for successful implementation yet …
Persistent link: https://www.econbiz.de/10014558436
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Operational risk management and implications for bank's economic capital - a case study
Chalupka, Radovan (contributor); Teplý, Petr (contributor) - 2008
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVTʺ). Within the EVT analysis, two estimation methods were applied; the standard maximum...
Persistent link: https://www.econbiz.de/10003755227
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
We investigate financial intermediaries’ interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher likelihood of bank distress makes banks reduce...
Persistent link: https://www.econbiz.de/10010248947
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The impact of the Basel accord on Greek banks : a stress test study
Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These … banking organization as well as the added capital that will be needed in order to hedge that risk. The execution of the …
Persistent link: https://www.econbiz.de/10011545145
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame … Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial … College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011557140
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Business complexity and risk management : evidence from operational risk events in U.S. bank holding companies
Chernobai, Anna; Ozdagli, Ali; Wang, Jianlin - 2016 - This version: October 2016
How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on either balance-sheet or market-based information, both of which may suffer from identification problems when it comes to answering this question. Balance-sheet measures, such as...
Persistent link: https://www.econbiz.de/10011562964