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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

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

-Based Approach and also for SME loans treated under the revised standardized approach of Basel II, our asset correlation estimates …

Persistent link: https://www.econbiz.de/10009751062

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

The impact of uncertainty and certainty shocks

Schüler, Yves - 2020

I propose a Bayesian quantile VAR to identify and assess the impact of uncertainty and certainty shocks, unifying Bloom's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future real economic activity growth, in line with a risk...

Persistent link: https://www.econbiz.de/10012180723

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

Persistent link: https://www.econbiz.de/10011334117

Value at risk : proposals on a generalization

Schröder, Michael - 1996

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk measurement: it is particularly interpretable as a special...

Persistent link: https://www.econbiz.de/10011622673

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

Value at risk - proposals on a generalization

Schröder, Michael - 1996

Persistent link: https://www.econbiz.de/10013428053

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012250452

The nonsense of bitcoin 1n portfolio analysis

Shalit, Haim - 2024

Persistent link: https://www.econbiz.de/10014486908