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ABSTRACT
This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means…
ContinueAdded by John A Morrison on February 25, 2010 at 11:48pm — No Comments
by Laurent Devineau & Stéphane Loisel
SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon
ABSTRACT
Two approaches may be considered in order to determine the Solvency II economic capital: the use of a standard formula or the use of an internal model (global or partial). However, the results produced by these two methods are rarely similar, since the underlying hypothesis of marginal capital aggregation is not…
ContinueAdded by John A Morrison on February 25, 2010 at 11:30pm — No Comments
Added by Håkan Jonsson on February 23, 2010 at 3:10pm — No Comments
I already wrote about R-bloggers on my blog, so it only seems fitting to republish it here. I will explain what R-bloggers is and then…
ContinueAdded by Tal Galili on February 17, 2010 at 1:00pm — No Comments
Added by Vincent Granville on February 15, 2010 at 11:30pm — 2 Comments
Added by Vincent Granville on February 15, 2010 at 11:00pm — 1 Comment
Added by Vincent Granville on February 14, 2010 at 8:51pm — 2 Comments
Added by Vincent Granville on February 13, 2010 at 11:30pm — No Comments
Palombini, Edgardo (2009): Factor models and the credit risk of a loan portfolio. Unpublished.
Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may be violated in one-factor models with constant default thresholds, as…
ContinueAdded by John A Morrison on February 11, 2010 at 12:57am — No Comments
AUTHORS
Wagner Piazza Gaglianone
Luiz Renato Lima
Oliver Linton
Daniel Smith
ABSTRACT
This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available…
ContinueAdded by John A Morrison on February 11, 2010 at 12:34am — No Comments
Added by John A Morrison on February 11, 2010 at 12:25am — No Comments
Credit and banking in a DSGE model of the euro area
by Andrea Gerali, Stefano Neri, Luca Sessa and Federico Maria Signoretti
(Working Paper) Number 740
Abstract
This paper studies the role of credit-supply factors in business cycle fluctuations. For this purpose, we introduce an imperfectly competitive banking sector into a DSGE model with financial frictions. Banks issue collateralized loans to both households and firms, obtain funding via deposits and…
Added by John A Morrison on February 11, 2010 at 12:18am — No Comments
the Research Task Force of the Basel Committee initiated a review of selected vendor credit-risk products, focusing on models that could be used to estimate probability of default, loss-given-default, or exposure at default, and models that could be used to assign ratings or produce credit scores, for wholesale or retail credit exposures. This paper provides a high-level…
ContinueAdded by John A Morrison on February 11, 2010 at 12:10am — No Comments
Added by Hans van Thiel on February 10, 2010 at 1:32pm — No Comments
Added by Vincent Granville on February 7, 2010 at 12:42pm — No Comments
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