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Author : Thomas Breuer
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Regulatory Capital for Market and Credit Risk Interaction written by Thomas Breuer and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the work of the Basel ...
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author : Lawrence D. Cluff
Publisher : DIANE Publishing
ISBN 13 : 0788186701
Total Pages : 187 pages
Book Rating : 4.7/5 (881 download)
Download or read book Risk-Based Capital written by Lawrence D. Cluff and published by DIANE Publishing. This book was released on 2000 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Murer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (781 download)
Download or read book Analyzing Effects of Credit and Market Risk Interaction written by Gabriel Murer and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial institutions often measure credit and market risk separately and then combine the risk types to determine economic capital. The recent financial crisis has shown that integrated measurement and management of different risk types remains a challenge for financial institutions, regulators, and researchers. The tradition of separating risk into different categories causes a number of problems in aggregating risk for the calculation of economic capital. In this article, historical data from Switzerland are analyzed to provide evidence for the relationship of credit and market risk. The correlation between these risk factors is studied empirically to show that if credit risk rises because of a recession, the recovered amount tends to decrease, depending on as set of unknown risk drivers. The results are then used to model economic capital for aggregated credit and market risk in the banking book. Compounding as well as diversification effects can be shown using a single period Bernoulli mixture model to simulate a simple balance sheet of a financial institution. It is shown that interactions matter and omitting to measure market risk in the banking book leads to an understatement of economic capital. The magnitude of these errors is significant and can threaten a financial institution if adverse effects materialize.
Author : Mark Carey
Publisher : University of Chicago Press
ISBN 13 : 0226092984
Total Pages : 669 pages
Book Rating : 4.2/5 (26 download)
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Author : Group of Ten. Committee on Payment and Settlement Systems
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 ( download)
Download or read book Recommendations for Central Counterparties written by Group of Ten. Committee on Payment and Settlement Systems and published by . This book was released on 2004 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Scheicher
Publisher :
ISBN 13 : 9783865584151
Total Pages : 0 pages
Book Rating : 4.5/5 (841 download)
Download or read book A Value at Risk Analysis of Credit Default Swaps written by Martin Scheicher and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Phillip Hartmann
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (838 download)
Download or read book Special Issue: Interaction of Market and Credit Risk written by Phillip Hartmann and published by . This book was released on 2010 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raja Almarzoqi
Publisher : International Monetary Fund
ISBN 13 : 1513505831
Total Pages : 43 pages
Book Rating : 4.5/5 (135 download)
Download or read book How Does Bank Competition Affect Solvency, Liquidity and Credit Risk? Evidence from the MENA Countries written by Raja Almarzoqi and published by International Monetary Fund. This book was released on 2015-09-29 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes the relationship between bank competition and stability, with a specific focus on the Middle East and North Africa. Price competition has a positive effect on bank liquidity, as it induces self-discipline incentives on banks for the choice of bank funding sources and for the holding of liquid assets. On the other hand, price competition may have a potentially negative impact on bank solvency and on the credit quality of the loan portfolio. More competitive banks may be less solvent if the potential increase in the equity base—due to capital adjustments—is not large enough to compensate for the reduction in bank profitability. Also, banks subject to stronger competitive pressures may have a higher rate of nonperforming loans, if the increase in the risk-taking incentives from the lender’s side overcomes the decrease in the credit risk from the borrower’s side. In both cases, country-specific policies for market entry conditions—and for bank regulation and supervision—may significantly affect the sign and the size of the relationship. The paper suggests policy reforms designed to improve market contestability and to increase the quality and independence of prudential supervision.
Author : Tobias Adrian
Publisher : International Monetary Fund
ISBN 13 : 1484343913
Total Pages : 53 pages
Book Rating : 4.4/5 (843 download)
Download or read book Risk Management and Regulation written by Tobias Adrian and published by International Monetary Fund. This book was released on 2018-08-01 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The evolution of risk management has resulted from the interplay of financial crises, risk management practices, and regulatory actions. In the 1970s, research lay the intellectual foundations for the risk management practices that were systematically implemented in the 1980s as bond trading revolutionized Wall Street. Quants developed dynamic hedging, Value-at-Risk, and credit risk models based on the insights of financial economics. In parallel, the Basel I framework created a level playing field among banks across countries. Following the 1987 stock market crash, the near failure of Salomon Brothers, and the failure of Drexel Burnham Lambert, in 1996 the Basel Committee on Banking Supervision published the Market Risk Amendment to the Basel I Capital Accord; the amendment went into effect in 1998. It led to a migration of bank risk management practices toward market risk regulations. The framework was further developed in the Basel II Accord, which, however, from the very beginning, was labeled as being procyclical due to the reliance of capital requirements on contemporaneous volatility estimates. Indeed, the failure to measure and manage risk adequately can be viewed as a key contributor to the 2008 global financial crisis. Subsequent innovations in risk management practices have been dominated by regulatory innovations, including capital and liquidity stress testing, macroprudential surcharges, resolution regimes, and countercyclical capital requirements.
Author : John Kambhu
Publisher : DIANE Publishing
ISBN 13 : 1428988769
Total Pages : 214 pages
Book Rating : 4.4/5 (289 download)
Download or read book Hedge Funds, Financial Intermediation, and Systemic Risk written by John Kambhu and published by DIANE Publishing. This book was released on 2008-04 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds have become important players in the U.S. & global capital markets. These largely unregulated funds use: a variety of complex trading strategies & instruments, in their liberal use of leverage, in their opacity to outsiders, & in their convex compensation structure. These differences can exacerbate market failures associated with agency problems, externalities, & moral hazard. Counterparty credit risk mgmt. (CCRM) practices are the first line of defense against market disruptions with potential systemic consequences. This article examines how the unique nature of hedge funds may generate market failures that make CCRM for exposures to the funds intrinsically more difficult to manage, both for regulated institutions & for policymakers. Ill.
Author : Philipp Hartmann
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (69 download)
Download or read book Findings on the Interaction of Market and Credit Risk written by Philipp Hartmann and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Sonali Das
Publisher : International Monetary Fund
ISBN 13 : 1463933797
Total Pages : 38 pages
Book Rating : 4.4/5 (639 download)
Download or read book How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis written by Mr.Sonali Das and published by International Monetary Fund. This book was released on 2012-01-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 where banks can use Basel II internal risk models. For large banks, investors paid less attention to RWA and rewarded instead lower wholesale funding and better asset quality. RWA do not, in general, predict market measures of risk although there is evidence of a positive relationship before the US crisis which becomes negative afterwards.
Author : Bart Baesens
Publisher : John Wiley & Sons
ISBN 13 : 1119143985
Total Pages : 517 pages
Book Rating : 4.1/5 (191 download)
Download or read book Credit Risk Analytics written by Bart Baesens and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Author : Rima Turk-Ariss
Publisher : International Monetary Fund
ISBN 13 : 1484302958
Total Pages : 48 pages
Book Rating : 4.4/5 (843 download)
Download or read book Heterogeneity of Bank Risk Weights in the EU written by Rima Turk-Ariss and published by International Monetary Fund. This book was released on 2017-06-09 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty for major banks in the European Union using internal models. It also finds that corporate risk weights are sensitive to the riskiness of an average representative firm, but not to a market indicator of a firm’s probablity of default. Under plausible yet severe hypothetical scenarios for harmonized risk weights, counterfactual capital ratios would decline significantly for some banks, but they would not experience a shortfall relative to Basel III’s minimum requirements. This, however, does not preclude falling short of meeting additional national supervisory capital requirements.
Author : Will Kerry
Publisher : International Monetary Fund
ISBN 13 : 1513511661
Total Pages : 29 pages
Book Rating : 4.5/5 (135 download)
Download or read book Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities written by Will Kerry and published by International Monetary Fund. This book was released on 2019-08-16 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper measures the performance of different metrics in assessing banking system vulnerabilities. It finds that metrics based on equity market valuations of bank capital are better than regulatory capital ratios, and other metrics, in spotting banks that failed (bad apples). This paper proposes that these market-based ratios could be used as a surveillance tool to assess vulnerabilities in the banking sector. While the measures may provide a somewhat fuzzy signal, it is better to have a strategy for identifying bad apples, even if sometimes the apples turn out to be fine, than not being able to spot any bad apples before the barrel has been spoiled.
