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The Fluctuating Default Risk of Australian Banks
Allen, David E. - 2012
Australian banks are widely considered to have fared far better during the Global Financial Crisis than their global counterparts, continuing to display solid earnings, good capitalization and strong credit ratings. Nonetheless, Australian banks experienced significant deterioration in the...
Persistent link: https://www.econbiz.de/10013102753
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Modeling and simulating cross country banking contagion risks
Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...
Persistent link: https://www.econbiz.de/10011890804
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A Quantile Monte Carlo approach to measuring extreme credit risk
Allen, David E.; Boffey, R. R.; Powell, Robert - 2011
We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10009410481
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A Quantile Analysis of Default Risk for Speculative and Emerging Companies
Powell, Robert J. - 2012
Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and … Liquidity Ratings list (Moody's Investor Services, 2010). For Australia, we compare entities from the S&P/ASX 200 to those on … found to remain constant in Australia through different economic circumstances, but to increase in the US during the GFC as …
Persistent link: https://www.econbiz.de/10013113402
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Liquidity in resolution : estimating possible liquidity gaps for specific banks in resolution and in a systemic crisis
Amamou, Raschid; Baumann, Andreas; Chalamandaris, Dimitrios - 2020
This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest...
Persistent link: https://www.econbiz.de/10012313295
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Interbank credit exposures and financial stability
Schneorson, Oren - 2022
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....
Persistent link: https://www.econbiz.de/10013350529
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Short-Term Debt and Bank Risk
Du, Brian - 2016
The extant literature suggests that one of the main causes of the recent financial crisis has been the excessive use of short-term debt by banks [Gorton and Metrick (2012a, b)]. Using a large sample of banks we find that increases in repurchase agreements (repos) was recognized by external...
Persistent link: https://www.econbiz.de/10012977970
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The adoption of stress testing : why the Basel capital measures were not enough
Wall, Larry D. - 2013
The Basel capital adequacy ratios lost credibility with financial markets during the crisis. This paper argues that failure was the result of the reliance of the Basel standards on overstated asset values in reported equity capital. The United States' stress tests were able to assist in...
Persistent link: https://www.econbiz.de/10010209147
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Tail Risk for Australian Emerging Market Entities
Allen, David E. - 2012
the extent to which emerging Australia entities were impacted by these extreme events as compared to established entities …
Persistent link: https://www.econbiz.de/10013113403