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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - Deutsche Bundesbank - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

Persistent link: https://www.econbiz.de/10005059004

Assessing the risk-return trade-off in loans portfolios

Mencía, Javier - Banco de España - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10004969766

What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation

Dow, James - In: Monetary and Economic Studies 18 (2000) 2, pp. 1-24

theory and bank capital regulation, and moral hazard and agency theory at the level of the individual trader, the financial … firm, and the overall financial system. Another important idea is the co- determination of asset prices and bank solvency …

Persistent link: https://www.econbiz.de/10004971239

Information losses in home purchase appraisals

Calem, Paul S.; Lambie-Hanson, Lauren - Federal Reserve Bank of Philadelphia - 2015

Home appraisals are produced for millions of residential mortgage transactions each year, but appraisals are rarely below the transaction price. We exploit a unique data set to show that the mortgage application process creates an incentive to substitute the transaction price for the true...

Persistent link: https://www.econbiz.de/10011194434

Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of International Money and Finance 43 (2014) C, pp. 107-130

In attempting to promote international financial stability, the Basel Committee on Banking Supervision (2006) provided a framework that sought to control the amount of tail risk that large banks around the world would take in their trading books relative to their corresponding minimum capital...

Persistent link: https://www.econbiz.de/10010869433

Bank regulation and stability: An examination of the Basel market risk framework

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - Deutsche Bundesbank - 2012

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that …

Persistent link: https://www.econbiz.de/10010957130

What is the information content of the SRISK measure as a supervisory tool?

Tavolaro, S.; Visnovsky, F. - Banque de France - 2014

The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...

Persistent link: https://www.econbiz.de/10010929760

The Risks of Financial Institutions

Carey, Mark; Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2005

on solvent banks leading to bank panics. But financial crises of the last two decades have not fit the mold. A new …

Persistent link: https://www.econbiz.de/10005011936

Forbearance and prompt corrective action

Shim, Ilhyock; Kocherlakota, Narayana - Bank for International Settlements (BIS) - 2005

This paper investigates whether a bank regulator should terminate problem banks promptly or exercise forbearance. We …

Persistent link: https://www.econbiz.de/10005063370

Forbearance and Prompt Corrective Action

Kocherlakota, Narayana; Shim, Ilhyock - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10005027238