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Bank risk profiles and business model characteristics

Ercegovac, Roberto; Pečarić, Mario; Klinac, Ivica - In: Journal of Central Banking Theory and Practice 9 (2020) 3, pp. 107-121

Current research, especially after the financial crisis, highlights different key determinants of high risk bank … profiles. The main aim of this paper is to test, through an empirical model, the impact of various determinants of bank … business models on the bank risk with the purpose of enabling early identification of signals of risk and timely application of …

Persistent link: https://www.econbiz.de/10014558511

Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

Persistent link: https://www.econbiz.de/10011719935

Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

Persistent link: https://www.econbiz.de/10011642197

Non-Maturing Assets and Liabilities of Banks : Valuation and Risk Measurement

Entrop, Oliver - 2009

individual bank level. We find that the choice of the term structure and the pass-through model is of limited importance for the …

Persistent link: https://www.econbiz.de/10013156838

Securitization and Banks’ Equity Risk

Wu, Deming - 2018

This research explores the effects of securitization on the market's perception of banks' risk exposure between 2002 and 2007. Our results show that, contrary to some prior evidence in the literature, securitizing banks actually had lower systematic betas until 2007. We find no evidence of...

Persistent link: https://www.econbiz.de/10012938633

Modelling and measuring business risk and the resiliency of retail banks

Chaffai, Mohamed E.; Dietsch, Michel - 2013

The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model. On average, retail banks suffered less than other financial institutions from unexpected market changes. This paper proposes a new methodology to measure retail banks’...

Persistent link: https://www.econbiz.de/10010192816

Stress Testing in Wartime and in Peacetime

Schuermann, Til - 2016

Stress testing served us well as a crisis management tool, and we see it applied increasingly to peacetime oversight of banks and banking systems. Stress testing is rapidly become the dominant supervisory tool on both sides of the Atlantic. Yet the objectives and certainly the conditions are...

Persistent link: https://www.econbiz.de/10012998456