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Risk Management of Risk Under the Basel Accord : Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin - 2011
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10013129947
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Risk-taking, competition and uncertaint : do contingent convertible (CoCo) bonds increase the risk appetite of banks?
Fatouh, Mahmoud; Neamtu, Ioana; Wijnbergen, Sweder van - 2022
We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...
Persistent link: https://www.econbiz.de/10012887890
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Risk-Taking, Competition and Uncertainty : Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?
Fatouh, Mahmoud; Neamțu, Ioana; van Wijnbergen, Sweder - 2022
We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...
Persistent link: https://www.econbiz.de/10013295502
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Risk-taking and Uncertainty : Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?
Fatouh, Mahmoud; Neamțu, Ioana; Wijnbergen, Sweder van - 2021
We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...
Persistent link: https://www.econbiz.de/10013212056
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Effects of SFAS 133 on the Risk Relevance of Accounting Measures of Banks’ Derivative Exposures
Ahmed, Anwer S. - 2012
We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative exposures to bond markets. First, we find that interest rate derivatives classified as hedging are more negatively associated with fixed-rate bond spreads after SFAS 133. We also find...
Persistent link: https://www.econbiz.de/10013115557
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Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints
Curcio, Domenico - 2011
Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even … Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing … unexpected loss), under the prevalent repayment schemes. Following Hasan and Zazzara (2006), risk-adjusted pricing can be split …
Persistent link: https://www.econbiz.de/10013131209
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The Relation between Bank Credit-Risk Management Procedures and Originate-to-Distribute Mortgage Quality During the Financial Crisis
Bhat, Gauri - 2020
We examine the relation between bank risk management procedures and sales of mortgages during the financial crisis of 2007-2009. Research suggests that banks employing an originate-to-distribute strategy devoted little effort to screening, thereby diminishing their ability to sell loans during...
Persistent link: https://www.econbiz.de/10012856254
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The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities
Charles-Cadogan, G. - 2017
minority bank (MB) policies. Our theory apparatus synthesizes Vasicek's bond pricing model, and KMV Moody loan portfolio model … bond prices, for minority (MB) and nonminority (NMB) peer banks, induce an anomalous concave risk return pricing structure …
Persistent link: https://www.econbiz.de/10012974983
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Investigation on the credit risk transfer effects on the banking stability and performance
Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...
Persistent link: https://www.econbiz.de/10013435725