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t ‐statistics for weighted means in credit risk modeling
Goldberg, Lisa R.; Kercheval, Alec N.; Lee, Kiseop - In: The Journal of Risk Finance 6 (2005) 4, pp. 349-365
modeling when some samples are considered more reliable than others in predicting a common mean. We also describe an example … with real credit data showing that ignoring this modification of the two‐sample test can lead to the wrong statistical …
Persistent link: https://www.econbiz.de/10014901371
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Are Weak Banks Leading Credit Booms? Evidence From Emerging Europe
Igan, Deniz; Tamirisa, Natalia T. - International Monetary Fund (IMF) - 2008
-level data for central and eastern Europe and controlling for the feedback effect of credit growth on bank soundness. No evidence … credit booms supervisors need to carefully monitor the soundness of rapidly expanding banks and stand ready to take action to …
Persistent link: https://www.econbiz.de/10005599420
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Transmission of Liquidity Shocks; Evidence From the 2007 Subprime Crisis
Hesse, Heiko; Frank, Nathaniel; González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks...
Persistent link: https://www.econbiz.de/10005769187
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Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention
Bertola, Giuseppe; Bartolini, Leonardo; Prati, Alessandro - International Monetary Fund (IMF) - 2000
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...
Persistent link: https://www.econbiz.de/10005825728
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Systemic Risk and Asymmetric Responses in the Financial Industry
López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...
Persistent link: https://www.econbiz.de/10011142002
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Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Jobst, Andreas - International Monetary Fund (IMF) - 2007
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
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Measuring and Analyzing Sovereign Risk with Contingent Claims
Gapen, Michael T.; Gray, Dale F.; Lim, Cheng Hoon; … - International Monetary Fund (IMF) - 2005
of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show …
Persistent link: https://www.econbiz.de/10005605090
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Bank Risk-Taking and Competition Revisited; New Theory and New Evidence
Nicoló, Gianni De; Jalal, Abu M.; Boyd, John H. - International Monetary Fund (IMF) - 2006
both these samples, we find that banks' probability of failure is positively and significantly related to concentration …
Persistent link: https://www.econbiz.de/10005605287
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Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting
Jobst, Andreas - International Monetary Fund (IMF) - 2007
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...
Persistent link: https://www.econbiz.de/10005826656
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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …
Persistent link: https://www.econbiz.de/10005263920