systemic risk. This paper looks at assessment of banking sector resilience through stress testing. We argue such analyses are …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk … the public, long-term systemic risk among banks tends to increase. In contrast, a settlement with regulatory authorities …

This paper contributes to the current literature dealing with the drivers of bank business model changes by analyzing … the relationship between fee and commission income share and banks' performance in terms of profitability, risk and risk … enhance banks' performance. Finally, bank business strategy and macroeconomic factors are crucial in the determination of …

, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … impact of counterparty credit risk on bank capital regulatory requirements. We developed six scenarios of different interest … the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …

for up to 5 years between 2013 and 2017. I identify the main locations of European bank's profits, which include the …

evidence on the existence of different bank technologies in international banking with different response schedules to external …. Using bank level structural variables we determine four different profit and cost banking technologies in the data. Further …

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery …