Similar Search Results

Why Pakistani Banks Failed to Adopt Advanced Approaches of Basel Accord According to Road Map of State Bank of Pakistan

Ali Shah, Syed Alamdar - 2012

Persistent link: https://www.econbiz.de/10013104044

Estimating the Probability of Default for No-Default and Low-Default Portfolios

Blümke, Oliver - 2020

The paper proposes a sequential Bayesian updating approach to estimate default probabilities on rating grade level for no- and low-default portfolios.Bayesian sequential updating enables default probabilities to be obtained also for those rating grades for which no defaults have been...

Persistent link: https://www.econbiz.de/10012843208

Estimating the Probability of Default for No-Default and Low-Default Portfolios

Blümke, Oliver - 2019

This article proposes a sequential Bayesian updating approach to estimate default probabilities on rating grade level for no- and low-default portfolios. Bayesian sequential updating allows to obtain default probabilities also for those rating grades for which no defaults have been observed. The...

Persistent link: https://www.econbiz.de/10012897815

On the Cyclicality of Default Rates of Banks : A Comparative Study of the Asset Correlation and Diversification Effects

Blümke, Oliver - 2019

In credit portfolio modeling the asset correlation parameter is used to describe the degree of default rates fluctuations. In this article we estimate the asset correlation parameter for banks and other industry sectors from default data. We find that estimates of the asset correlation vary...

Persistent link: https://www.econbiz.de/10012899116

Global Versus Non-Global Banks : A Capital Ratios-Based Analysis

Drakos, Konstantinos - 2020

This paper examines the Leverage Ratio and Total Capital Ratio of global versus non-global banks, in both the pre- and the post crisis period. A panel data set of 165 global and non-global financial institutions from 38 countries is used for the period 1999-2015 and a random effects model is...

Persistent link: https://www.econbiz.de/10012825535

Global versus non-global banks : a capital ratios-based analysis

Drakos, Kōnstantinos; Malandrakis, Ioannis - In: Journal of central banking theory and practice 10 (2021) 2, pp. 5-22

This paper examines the Leverage Ratio and Total Capital Ratio of global versus non-global banks in both the pre- and post-crisis periods. A panel data set of 165 global and non-global financial institutions from 38 countries is used for the period 1999-2015 and a random effects model is...

Persistent link: https://www.econbiz.de/10012549173

Global Versus Non-Global Banks : A Capital Ratios-Based Analysis

Drakos, Konstantinos; Malandrakis, Ioannis - 2021

This paper examines the Leverage Ratio and Total Capital Ratio of global versus non-global banks in both the pre- and postcrisis periods. A panel data set of 165 global and non-global financial institutions from 38 countries is used for the period 1999-2015 and a random effects model is employed...

Persistent link: https://www.econbiz.de/10013226108

The agency of CoCo : why do banks issue contingent convertible bonds?

Goncharenko, Roman; Ongena, Steven; Rauf, Asad - 2017

Why do banks issue contingent convertible debt? To answer this question we study comprehensive data covering all issues by publicly traded banks in Europe of contingent convertible bonds (CoCos) that count as additional tier 1 capital (AT1). We find that banks with lower asset volatility are...

Persistent link: https://www.econbiz.de/10011755934

Can capital ratios be the centre of banking regulation : a case study

Marinova, Milena - In: European financial and accounting journal : EFAJ 4 (2009) 4, pp. 8-34

The application, or to be more precise, the misapplication of securitization in the mortgage market had fatal consequences for the financial sector worldwide. More over securitization techniques enabled single banks to reduce their individual risk while at the same time transferred greater risk...

Persistent link: https://www.econbiz.de/10011459525

The Benefits of Decoupling Financial Reporting from Bank Capital Regulation

Song, Guoxiang - 2012

This paper examines the linkage between financial reporting and bank capital regulation. Some recent studies focus on … significantly to the deterioration of bank capital adequacy. And its effects were much larger than those of the provision for loan … impact and establish an important stabilizer for bank capital regulation if the associated asymmetric risks can be contained …

Persistent link: https://www.econbiz.de/10013113604