Banking on Snow: Bank Capital, Risk, and Employment
"... as liquidity providers, well-capitalized banks support economic adaptation to climate change." LIRE
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24 août 2022
Impact of Risk Oversight Functions on Bank Risk: Evidence from the Dodd-Frank Act
"We document the impact of having a risk committee (RC) and a chief risk officer (CRO) on bank risk using the passage of the Dodd Frank...
29 juil. 2022
Bank capital and risk in the South Eastern European region
" A model is set up which assumes that banks’ decisions regarding capital and risk are made endogenously in a dynamic pattern." LIRE
28 juil. 2022
Should Bank Stress Tests Be Fair?
"We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of...
26 juil. 2022
What Drives Bank-Specific Capital Requirements? Evidence from the Ssm
"Drawing on recently disclosed information on the Pillar 2 capital requirements of banks directly supervised by the ECB, we find that...
15 juil. 2022
Constructing Early Warning Indicators for Banks Using Machine Learning Models
"This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early...
8 juil. 2022
The Status of People Risk Management in UK Banks
"... some operational risk managers are working more closely with their human resources partners to develop a more cohesive approach to...
4 juil. 2022
When It Rains, It Pours: Cyber Risk and Financial Conditions
"We observe that cyber vulnerability and other financial shocks cannot be treated as uncorrelated risks and policy solutions for cyber...
28 juin 2022
Forecasting Bank Capital Ratios Using the Prophet Model by Facebook
"... we conclude that the Prophet model does a good job of forecasting bank capital ratios, which could supplement bank stress tests by...
23 juin 2022
Regulatory Capital Management to Exceed Thresholds
"We find that banks manage regulatory capital to exceed the threshold and thus to pay lower deposit insurance fees and to have access...
17 juin 2022
The Next Decade of EU Macroprudential Policy
"This paper presents an overview of key proposals formulated by the European Systemic Risk Board (ESRB), the European Banking Authority...
10 juin 2022
Measuring Capital at Risk in the Uk Banking Sector: A Microstructural Network Approach
"We ... estimate the quarterly evolution of expected losses (Capital at Risk) for the UK banking sector, and via Monte Carlo simulations...
7 juin 2022
Δ−CoES
"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the...
27 mai 2022
Bank regulation, internal governance, and bank risk: Global evidence
"Using a broad international sample, we find that banks with better governance in countries with better regulatory quality have lower...
27 mai 2022
Liquidity Coverage at Risk
"Building on the Liquidity Coverage Ratio created under the Basel III regulatory agreement, this paper introduces the notion of Liquidity...
2 mai 2022
Factors Affecting Employees’ Susceptibility to Cyber Attacks
"Bank employees are more susceptible to being phished than professional services firm employees, but within the bank, the employees with...
15 mars 2022
Regulatory Oversight and Bank Risk
"Using a sample of bank holding companies over the period 2015Q1 through 2020Q1, we find that risk exposure increases for the large banks...
15 févr. 2022
Model Validation - A Blue Print (Modellvalidierung - Eine Blaupause)
"The aim is the design of a risk class independent approach, such that the model validation framework can be equally rolled out over all...
14 févr. 2022
Risk-oriented approach to determining bank’s capital size according to requirements of basel
"The conducted experiment on calculation of the bank's capital for operational risk with different methods showed non-profitability of...
1 févr. 2022
Basel III and Recourse to Eurosystem Monetary Policy Operations
"In addition to raising capital requirements, it introduced three ratios, two of which set out minimum standards for liquidity and...
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