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The Effect of the Balance Sheet Approach on the Usefulness of Accounting Information in Assessing Bank Default Risk

Demerjian, Peter R.; Ito, Kodai; Shuto, Akinobu - 2021

liability valuation, on the usefulness of the capital adequacy ratio in the evaluation of bank default risk by credit rating … affected by the fair value measurement under the balance sheet approach. We adopt Demerjian’s (2011) approach to develop a bank … capital adequacy ratio and issuer rating, we find that this positive correlation is significantly weakened as a bank …

Persistent link: https://www.econbiz.de/10013231468

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Albanese, Claudio - 2016

The topics of Economic Capital modelling, reverse stress testing and credit limits are inextricably intertwined as they all focus on exceptional loss events. In this paper, we use the KVA framework in to frame these three topics within a single unified approach. We propose setting credit limits...

Persistent link: https://www.econbiz.de/10012997056

Management of FX settlement risk in Hungary (Report II) : payments and securities settlements

Tanai, Eszter - 2008

Persistent link: https://www.econbiz.de/10009354810

UK banks face huge investments to comply with Bank of England stress test

Thun, Christian - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 389-394

Persistent link: https://www.econbiz.de/10011346964

Financial stability and solvency of Algerian banks, application of stress tests from 2012 to 2016

Mehdi, Bouchetara - In: Financial markets, institutions and risks : FMIR 2 (2018) 4, pp. 57-67

Persistent link: https://www.econbiz.de/10012033556

Stress testing a central bank's own balance sheet

Benjamin, Nathanael; Haddow, Abigail; Jacobs, David - In: Handbook of financial stress testing, (pp. 635-658). 2022

Persistent link: https://www.econbiz.de/10013343641

Validation of Default Probability Models : A Stress Testing Approach

Yasuhiro Tsukahara, Fabio - 2016

This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated stress data, we build ideal conditions to assess the adequacy of the metrics in different stress scenarios. In addition, we empirically analyze the evaluation metrics...

Persistent link: https://www.econbiz.de/10012987722

Model and Estimation Risk in Credit Risk Stress Tests

Grundke, Peter - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10012889015

Credit Stress Testing from a Portfolio Perspective

Bellini, Tiziano - 2013

Stress testing has become an important topic in banking practice since the development of the risk management and the enforcement of international supervisory requirements. While, in the context of credit risk, the regulatory perspective is mainly focused on stressing risk parameters, we propose...

Persistent link: https://www.econbiz.de/10013087335

Enhancing Holistic Understanding : The Prospective Pathway for Climate Stress Testing

Koch, Dr. Benjamin - 2023

Climate change has become a pressing issue that requires comprehensive and scientific understanding of its impact on the economy. Policymakers seek answers to the questions of how climate change affects economic growth, inflation, and the financial system. To design targeted policies, it is...

Persistent link: https://www.econbiz.de/10014355731