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Evaluating VaR forecasts under stress the German experience

Jaschke, Stefan R.; Stahl, Gerhard; Stehle, Richard - 2003

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

Persistent link: https://www.econbiz.de/10009764769

Aspects of systemic risk in banking : Inter Bank Loans, Optimal Bank Size and the Swiss Regional Bank Crisis

Staub, Markus - 1999 - Als Ms. gedr

Persistent link: https://www.econbiz.de/10001381943

The influence of macroeconomic developments on Austrian banks : implications for banking supervision

Arpa, Markus; Giulini, Irene; Ittner, Andreas; Pauer, Franz - In: Marrying the macro- and microprudential dimensions of …, (pp. 91-116). 2001

Persistent link: https://www.econbiz.de/10001712552

Internal rating, the business cycle and capital requirements : some evidence from an emerging market economy

Segoviano, Miguel; Lowe, Phillip - 2002

Persistent link: https://www.econbiz.de/10001722627

L' apport de modèles quantitatifs `a la supervision bancaire en Europe

Capelle-Blancard, Gunther; Chauveau, Thierry - In: Revue française d'économie : RFE 19 (2004) 1, pp. 77-120

Persistent link: https://www.econbiz.de/10002353616

Assessing Banks’ Systemic Risk Contribution : A Leave-One-Out Approach

Zedda, Stefano - 2016

governments. Still, the debate is open on what the systemic risk is, and how to measure the contribution of each single bank …-One-Out contribution to systemic risk.This measure can be split as the sum of two components, namely the idiosyncratic bank risk (the value …The last financial crisis has shown that large banking crises not only pose a highly dangerous risk to financial …

Persistent link: https://www.econbiz.de/10013003043

Prudential Supervisors’ Independence and Income Smoothing in European Banks

Garcia Osma, Beatriz - 2019

We investigate the role of prudential supervisors' independence in affecting income smoothing behavior in European banks. Powerful national supervisors are predicted to influence the accounting practices of their supervised entities, shaping the properties of the accounting numbers they prepare....

Persistent link: https://www.econbiz.de/10012899395

The effects of SSM adoption on bank's profitability : a long-term effects difference-in-difference analysis

Perniola, Tommaso; Chiarelli, Pietro - 2024

Persistent link: https://www.econbiz.de/10015152882

La place de la régulation bancaire dans le développement bancaire et la croissance : une approche institutionnelle pour les pays d'Afrique du Nord et du Moyen-Orient

Beji, Samouel; Youssef, Darine - In: Région et développement 32 (2010), pp. 121-151

Persistent link: https://www.econbiz.de/10008748576

Sistem de previziune a evenimentelor de deteriorare a ratingului caampl

Moinescu, Bogdan - 2007

Persistent link: https://www.econbiz.de/10003822734