Dissertation Abstracts International
Author:
Publisher:
Published: 2008
Total Pages: 568
ISBN-13:
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Revisiting Risk-Weighted Assets
Author: Vanessa Le Leslé
Publisher: International Monetary Fund
Published: 2012-03-01
Total Pages: 50
ISBN-13: 1475502656
DOWNLOAD EBOOKIn this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Macrofinancial Risk Analysis
Author: Dale Gray
Publisher: John Wiley & Sons
Published: 2008-04-30
Total Pages: 362
ISBN-13: 9780470756324
DOWNLOAD EBOOKMacrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
International Convergence of Capital Measurement and Capital Standards
Author:
Publisher: Lulu.com
Published: 2004
Total Pages: 294
ISBN-13: 9291316695
DOWNLOAD EBOOKCredit Risk Analytics
Author: Bart Baesens
Publisher: John Wiley & Sons
Published: 2016-10-03
Total Pages: 517
ISBN-13: 1119143985
DOWNLOAD EBOOKThe long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
The Oxford Handbook of Economic and Institutional Transparency
Author: Jens Forssbaeck
Publisher: Oxford Handbooks
Published: 2014
Total Pages: 619
ISBN-13: 0199917698
DOWNLOAD EBOOK'Transparency' has become both a catch-word in public debate and also an important research topic. Comprised of authoritative yet accessible contributions, this handbook surveys existing economic research on transparency and provides an up-to-date account of its meaning and significance in economic policy, market integration and regulation, and corporate governance and disclosure.
Use of Risk Analysis and Cost-benefit Analysis in Setting Environmental Priorities
Author: United States. Congress. Senate. Committee on Energy and Natural Resources
Publisher:
Published: 1994
Total Pages: 192
ISBN-13:
DOWNLOAD EBOOKSecuritization and Credit Quality
Author: David Marques-Ibanez
Publisher: International Monetary Fund
Published: 2016-11-15
Total Pages: 41
ISBN-13: 1475553765
DOWNLOAD EBOOKBanks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans’ relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not seem to select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks’ reduced monitoring incentives.
Comparative Risk Assessment
Author: United States. Congress. Senate. Committee on Environment and Public Works
Publisher:
Published: 2002
Total Pages: 216
ISBN-13:
DOWNLOAD EBOOKBasel III Credit Rating Systems
Author: L. Izzi
Publisher: Springer
Published: 2011-12-19
Total Pages: 357
ISBN-13: 0230361188
DOWNLOAD EBOOKMore than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
