In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

The big Chinese state-owned banks came as winners out of the global financial crisis. According to the Banker ranking, Chinese banks led the global banking profitability ranking through the years from 2008 to 2010 and contributed one fifth of global banking profits in 2010. The Chinese banking...

Sri Lanka has achieved a high level of financial inclusion compared to other South Asian countries. Its financial sector comprises a wide range of financial institutions providing financial services such as loans, savings, pawning, leasing and finance, and remittance and money transfer...

Since the summer of 2007, participants in financial markets have been confronted by a crisis of their own making. In order to prevent the recurrence of a similar crisis in the future, the G-20 nations, at their finance summit in Washington on 15 November 2008, resolved to "ensure that all...

With banking sectors worldwide still suffering from the effects of the financial crisis, public discussion of plans to place toxic assets in one or more bad banks has gained steam in recent weeks. The following paper presents a plan how governments can efficiently relieve ailing banks from toxic...

The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically...

The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on...

Payment systems play a key role in the financial infrastructure of all modern economies. Participants of payment systems need access to intraday liquidity to fulfill their payment obligations. They do that either using their own funds, which are costly, or recycling incoming payment. In order to...

The present study calculates the proportional liquidity usage of the Mexican Real Time Settlement Payment System, SPEI, during a one month period. In particular, our interest is to get insights on how different is the liquidity level at the settlement in real time of low and large value payment...

This paper delves into the importance of access to .nancing for the performance of firms in export markets. Based on a unique microeconomic database that combines data on Argentine firms' characteristics and export performance with information on their domestic and external financing, we provide...