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 … ; economic capital ; Basel II ; extreme value theory ; probability weighted method …

Banks produce short-term debt for transactions and storing value. The value of bank money must not vary over time so … information about the bank's loans. To produce safe liquidity banks choose loans with high such costs. Capital markets cannot … produce substitutes for bank money because they involve information revelation. They produce risky liquidity. This trade …