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Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008. This was caused by a combination of domestic, regional and international factors. We estimate an early warning model for the Russian crisis. We identified 47 Russian banks...
Persistent link: https://www.econbiz.de/10003951770
this research is that capital has an effect on the bankruptcy of a bank.Methodology/Technique – This research examines … hypothesis.Novelty – This paper contribute to bank bankruptcy prediction models based on time dimension and bank groups using … financial ratios which are expected can influence bank in bankrupt condition.Type of Paper: Empirical …
Persistent link: https://www.econbiz.de/10012889621
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769
Our concern in this paper is two-fold: first to see whether the determinants of bank distress and failure have been any …-weighted counterparts as predictors, despite the focus on the later in the Basel framework. This paper examines bank distress within a large … predict bank failures and draw inferences about the stability of contributing bank characteristics. Our models incorporate …
Persistent link: https://www.econbiz.de/10011711859
This study first investigates why only some banks use the internal models (IMs) introduced by Basel II that lead to more risk-sensitive capital ratios than standardized approaches (SA). I predict that banks opt for an IM if it allows economizing on capital requirements, given their underlying...
Persistent link: https://www.econbiz.de/10012851087
' asset portfolios. Using a sample of large European banks, we show that bank capital not only increases with regulatory …
Persistent link: https://www.econbiz.de/10012852758
Persistent link: https://www.econbiz.de/10012989332
We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and European crises. This relationship is weaker in Europe...
Persistent link: https://www.econbiz.de/10013037250
convey to bank shareholders when market and credit risk regulatory capital requirements are set using bank internal model … requirements will cause distortions in bank lending behavior …
Persistent link: https://www.econbiz.de/10013317885
This paper reviews the cost-benefit analysis, or “regulatory impact analysis” (RIA), in US bank regulators’ risk …-based capital (RBC) rule proposals. We review the principles of cost-benefit analysis and its application by US bank regulators. We … RBC rules and related rules on bank liquidity. We find that nine of the 27 rules include RIAs. Five of the RIAs claim the …
Persistent link: https://www.econbiz.de/10012417012