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Gündüz, Yalın - 2018

of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and … effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …

Persistent link: https://www.econbiz.de/10011900709

Modelling and measuring business risk and the resiliency of retail banks

Chaffai, Mohamed E.; Dietsch, Michel - 2013

The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model … retail banking business model. Our results verify a low level of business risk in retail banking, thus confirming the …

Persistent link: https://www.econbiz.de/10010192816

Bank capital buffers in a dynamic model

Mankart, Jochen; Michaelides, Alexander G.; Pagratis, Spyros - 2019

We estimate a dynamic structural banking model to examine the interaction between risk-weighted capital adequacy and …

Persistent link: https://www.econbiz.de/10011955629

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012160610

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

reported capital figures suggests that there appears to be enough capital in the banking system, but its distribution might be …

Persistent link: https://www.econbiz.de/10011663208

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075

A comprehensive view on risk reporting : evidence from supervisory data

Abbassi, Puriya; Schmidt, Michael - 2018

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk exposure in their trading book. This relationship is...

Persistent link: https://www.econbiz.de/10011826077

Back to the roots of internal credit risk models : does risk explain why banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2024

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels....

Persistent link: https://www.econbiz.de/10014467948

Monetary and macroprudential policy in an estimated DSGE model of the euro area

Quint, Dominic; Rabanal, Pau - 2014

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a...

Persistent link: https://www.econbiz.de/10010258716

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

banks' balance sheets; banks respond by selling assets and reducing credit provision. A highly leveraged banking sector …

Persistent link: https://www.econbiz.de/10014501102