The paper sets an accounting and behavioral framework from which we derive a reduced-form equation to test income smoothing and capital management practices through loan loss provisions (PLL) by Spanish banks. Spain offers a unique environment to perform those tests because there are very...

In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of the Spanish Credit Register, a comprehensive database on loan characteristics and credit quality. From that model, we calculate different types of PDs: point in time, PIT, through the cycle, TTC,...

Policy discussions on the recent financial crisis feature widespread calls to address the pro-cyclicaleffects of regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle fluctuations. This paper compares the leading alternative...

Evento: High-level meeting on banking supervision; Organizado por: BIS ; BCBS work programme and strategic priorities in 2023/24: risk assessment and horizon scanning, policy and supervisory responses to emerging risks, strengthening supervisory coordination and practices, Basel III...

This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a...

The New Basel Capital Accord (Basel II) provides added emphasis to thedevelopment of portfolio credit risk models. An important regulatory change in Basel IIis the differentiated treatment in measuring capital requirements for the corporateexposures and retail exposures. Basel II allows...

The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...

The aim of this master thesis was the provision of a theoretical foundation for a GermanCentre. The crucial question was how to approach a subject of such recent nature. Thetheory of the multinational enterprise with special emphasis on the role of the govern-mentopened up a possible solution....

Wegen wachsender Globalisierung engagierten sich zunächst vor allem international operierende Konzerne mit Direktinvestitionen in ausländischen Standorten. Unter Direktinvestitionen versteht man im Allgemeinen Kapitalanlagen im Ausland, die aus der Gründung eines Unternehmens, der Beteiligung...