Narrow search
Showing 1 - 10 of 191,452
Cover Image
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
Cover Image
How Large Banks Use CDS to Manage Risks : Bank-Firm-Level Evidence
Hasan, Iftekhar - 2015
evidence of bank using CDS to exploit private information …
Persistent link: https://www.econbiz.de/10013021173
Cover Image
Modelling systemically important banks vis-à-vis the basel prudential guidelines
Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20
concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …
Persistent link: https://www.econbiz.de/10012622472
Cover Image
The impact of regulatory stress testing on bank's equity and CDS performance
Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2018 - This version: May, 2018
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample …
Persistent link: https://www.econbiz.de/10011906487
Cover Image
Regulatory stress testing and bank performance
Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2020 - This version: April, 2020
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample …
Persistent link: https://www.econbiz.de/10012210061
Cover Image
Concentration Risk : A Critical Component of Credit Risk Management in Banks (A Case Study on SBI & its Associate Banks)
N., Suresh - 2017
SBI and Associate Banks using secondary data. Twelve year data from 1996 to 2007 were collected from Reserve Bank of India …
Persistent link: https://www.econbiz.de/10012949021
Cover Image
The microprudential stress testing for banking system : a study case on Algerian private bank, using accounting approach
Bouchetara, Mehdi; Eyih, Sidi; Kheroua, Hinde Hadj Slimane - In: Financial studies 25 (2021) 4, pp. 34-70
important private bank in Algeria in the face of liquidity risk. Our empirical analysis adopts a bottom-up approach based on an … accounting method. It studies the relationship between the bank solvency ratio (ratio cook) and bank portfolios, such as loans to … the construction, trade, industry, and automotive sectors. Microeconomic stress tests assess the credit risk of a bank …
Persistent link: https://www.econbiz.de/10012793520
Cover Image
Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 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/10011981523
Cover Image
Interbank risk assessment : a simulation approach
Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
Cover Image
The impact of transitory climate risk on firm valuation and financial institutions : a stress test approach
Schult, Alexander; Müller, Sebastian; Friedl, Gunther; … - In: Schmalenbach journal of business research : SBUR 76 (2024) 1, pp. 63-111
.6$$percentage points for key regulatory capital ratios in the most adverse scenario while only addressing 36% of the bank's total …
Persistent link: https://www.econbiz.de/10014551027