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Insights into credit loss rates : a global database

Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023

Persistent link: https://www.econbiz.de/10014329176

Systematic systemic stress tests

Breuer, Thomas; Summer, Martin - 2018

Persistent link: https://www.econbiz.de/10011984002

Banking leverage procyclicality : a theoretical model introducing currency diversification

Pedrono, Justine - 2017

Persistent link: https://www.econbiz.de/10011745493

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market … risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Persistent link: https://www.econbiz.de/10011303812

Capital requirements, risk-taking and welfare in a growing economy

Agénor, Pierre-Richard; Silva, Luiz A. Pereira da - 2017

The effects of capital requirements on risk-taking and welfare are studied in a stochastic overlapping generations model of endogenous growth with banking, limited liability, and government guarantees. Capital producers face a choice between a safe technology and a risky (but socially...

Persistent link: https://www.econbiz.de/10011661894

Risk allocation under liquidity constraints

Csóka, Péter; Herings, Peter Jean-Jacques - 2014

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

Persistent link: https://www.econbiz.de/10010350439