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Weighting on Systemic Important Banking (SIB) in Indonesia: The official versus PCA approaches
Anwar, Samsul - In: Journal of Central Banking Theory and Practice 9 (2020) 2, pp. 155-182
In determining its Domestic Systemic Important Banking (D-SIB), Indonesia implemented the Global Systemic Important … be modified by using the eigenvector of the Principal Component Analysis (PCA). We showed that this new weighting system … was better than the official weighting system (referred to in this paper as the POJK approach) based on the Financial …
Persistent link: https://www.econbiz.de/10014558516
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Has "too big to fail" been solved? : a longitudinal analysis of major U.S. banks
Thosar, Satish; Schwandt, Bradley - In: Journal of risk and financial management : JRFM 12 (2019) 1/24, pp. 1-14
In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...
Persistent link: https://www.econbiz.de/10012022346
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Systemically important banks : emerging risk and policy responses : an agent-based investigation
Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2023
to Basel III macro-prudential frameworks and manage their liquidity in the interbank market. The Central Bank performs … type and management strategy of the bank, leading to the ''one-size-fits-all'' problem. Finally, we found that additional …
Persistent link: https://www.econbiz.de/10014332099
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
Gehrig, Thomas - 2018
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012910412
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks
Gehrig, Thomas - 2017
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012946327
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Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
Gehrig, Thomas - 2017
This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...
Persistent link: https://www.econbiz.de/10012950027
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Growth and Inflation Implications of Systemic Risk in the Euro Area Banking Industry : Lessons from the Financial Crisis
Kabundi, Alain Ntumba - 2020
This study has two objectives. It first assesses the output and inflation effects of systemic risk-taking in the euro area banking sector using a factor-augmented vector autoregressive model that exploits a 519 time-series rich dataset, including coherent measures of systemic risk in all its...
Persistent link: https://www.econbiz.de/10012838151
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Basel III and systemic risk regulation - what way forward?
Georg, Co-Pierre - 2011
One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs). The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework...
Persistent link: https://www.econbiz.de/10009012328
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Basel III and Systemic Risk Regulation - What Way Forward?
Georg, Co-Pierre - 2011
One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs). The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework...
Persistent link: https://www.econbiz.de/10010334491
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Nowcasting del PIB de México usando modelos de factores y ecuaciones puente
Gálvez-Soriano, Oscar de Jésus - 2018
This paper evaluates five Nowcasting models that forecast Mexico's quarterly GDP: a Dynamic Factor Model (MFD), two Bridge Equation Models (BE) and two Principal Components Models (PCA). The results indicate that the average of the BE forecasts is statistically better than the rest of the models...
Persistent link: https://www.econbiz.de/10012057066