Bank Structure and Reevaluating the Case for Risk : The Icelandic Banking Crisis

Using a sample of 3 Icelandic and 153 US banks (8 of which have since failed), we construct a historical VaR framework and discuss the relative thoroughness of market risk management for US and Icelandic firms. The paper seeks to determine the drivers of provisional loan losses (PLL), a fundamental component of liquidity. The results find no homogeneity between Icelandic and US results, but significant explanatory power exists for Icelandic PLL. This paper represents the only paper, to our knowledge, that approaches Icelandic and US Banks from the structural component of risk