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The credit value-at-risk model underpinning the internal ratings-based approach of Basel II and III assumes that idiosyncratic risk has been fully diversified in the portfolio, so that economic capital depends only on systematic risk contributions. We propose a simple granularity adjustment (GA)...
Persistent link: https://www.econbiz.de/10010691284
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are...
Persistent link: https://www.econbiz.de/10010691319
CBO estimates that, all told, the TARP’s transactions will cost the federal government $27 billion. That estimate accounts for the realized costs of completed transactions and the estimated costs of outstanding and anticipated transactions.
Persistent link: https://www.econbiz.de/10010764003
stability for both individual institutions and the financial system. The experience shows that market-based regulation does not … wide area of discretion for experimentation with trial and error processes, easily leading to weak or distorted regulation … approach to financial fragility and regulation. Characterising banking in terms of liquidity creation through acceptance, and …
Persistent link: https://www.econbiz.de/10010764325
financial regulation that is applicable to the banking industry and will fundamentally determine the profitability of the …
Persistent link: https://www.econbiz.de/10010764394
The need for prudential supervision imposed to banks by law arises from the action that banking market’s basic factors have. Therefore, it is about banks’ role in economy. The normal functioning of banks in all their important duties maintains the stability of banking system. Further, the...
Persistent link: https://www.econbiz.de/10010764427
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that are not fully captured by Pillar 1 should be adequately considered in the banks’ risk management. This...
Persistent link: https://www.econbiz.de/10010764527
El objetivo de este trabajo es presentar un modelo de clasificación de entidades bancarias estimado mediante la técnica del análisis discriminante lineal multivariante, precedido de un breve recorrido sobre la evolución de la reciente crisis bancaria en España. Se utiliza una muestra de...
Persistent link: https://www.econbiz.de/10010764847
En un proceso actual de reestructuración y recapitalización del sector bancario, la solvencia de las entidades de crédito se ha convertido en un factor de creciente importancia, lo que justifica el interés por evaluarla mediante pruebas de resistencia. El objetivo de este trabajo es analizar...
Persistent link: https://www.econbiz.de/10010764853
Este documento estima los efectos de choques de origen financiero y real sobre un conjunto de variables de la economía colombiana. Para ello, se utiliza un modelo FAVAR que incorpora dos factores no observados, los cuales recogen la dinámica de 111 variables de la economía colombiana entre el...
Persistent link: https://www.econbiz.de/10010764999