Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 4 von 4.

  1. Back to the roots of internal credit risk models
    why do banks' risk-weighted asset levels converge over time?
    Autor*in: Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J.
    Erschienen: [2022]
    Verlag:  Swiss Finance Institute, Geneva

    The internal ratings-based (IRB) approach maps banks’ risk profiles more adequately than the standardized approach. After switching to IRB, banks’ risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    The internal ratings-based (IRB) approach maps banks’ risk profiles more adequately than the standardized approach. After switching to IRB, banks’ risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries that adopted the IRB approach, we observe a convergence of their RWA densities over time. We test if this convergence can be entirely explained by differences in the size of the banks, loss levels, country risk, and/or time of IRB implementation, yet this is not the case. Whereas banks in high-risk countries, with lax regulation, reduce their RWA densities, banks elsewhere increase theirs. Especially for banks in high-risk countries, RWA densities underestimate banks’ actual economic risk. Hence, the IRB approach allows for regulatory arbitrage, whereby authorities only enforce strict supervision on capital requirements if they do not jeopardize bank resilience

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 22, 33
    Schlagworte: Capital regulation; credit risk; internal ratings-based approach; regulatory arbitrage; risk-weighted assets
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 91 Seiten), Illustrationen
  2. The ECB Single Supervisory Mechanism
    effects on bank performance and capital requirements
    Autor*in: Raunig, Burkhard; Sigmund, Michael
    Erschienen: [2022]
    Verlag:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

    Under the Single Supervisory Mechanism (SSM) introduced in 2014, the European Central Bank directly supervises significant euro area banks, which hold about 82% of total banking assets. We find that this important supervisory change has positive... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 821
    Fernleihe:
    keine Fernleihe

     

    Under the Single Supervisory Mechanism (SSM) introduced in 2014, the European Central Bank directly supervises significant euro area banks, which hold about 82% of total banking assets. We find that this important supervisory change has positive effects on the return on assets and the return on risk-weighted assets of SSM banks without increasing the risk weights used to calculate regulatory capital. Our findings indicate that these effects result from better risk management and increased confidence in the soundness of SSM banks. Our results therefore suggest that the SSM has strengthened the resilience of the euro area banking system.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/278205
    Schriftenreihe: Working paper / Oesterreichische Nationalbank ; 244
    Schlagworte: ECB Single Supervisory Mechanism; bank profitability; capital requirements; risk-weighted assets
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  3. The cyclicality of bank credit losses and capital ratios under expected loss model
    Autor*in: Fatouh, Mahmoud; Giansante, Simone
    Erschienen: [2023]
    Verlag:  Bank of England, London

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 443
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; no. 1013 (January 2023)
    Schlagworte: IFRS 9; IAS 39; US GAAP; expected credit loss model; loan loss provisions; cyclicality of bank profits; leverage ratio; risk-weighted assets
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  4. Back to the roots of internal credit risk models
    does risk explain why banks' risk-weighted asset levels converge over time?
    Autor*in: Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J.
    Erschienen: [2024]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12
    Fernleihe:
    keine Fernleihe

     

    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries that adopted the IRB approach, we observe a downward convergence of their RWA densities over time. We test whether this convergence can be entirely explained by differences in the size of the banks, loss levels, country risk, and/or time of IRB implementation. Our findings indicate that this is not the case. Whereas banks in high-risk countries with less strict regulation and/or supervision, reduce their RWA densities, banks elsewhere increase theirs. Especially for banks in high-risk countries, RWA densities seem to underestimate banks' economic risk. Hence, the IRB approach enables regulatory arbitrage, whereby authorities may only enforce strict supervision on capital requirements if they do not jeopardize bank existence.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957299710
    Weitere Identifier:
    hdl: 10419/283007
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2024, 02
    Schlagworte: Capital regulation; credit risk; internal ratings-based approach; regulatory arbitrage; risk-weighted assets
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen