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14 résultats pour « models »

Constructing Early Warning Indicators for Banks Using Machine Learning Models

15 juil. 2022 Autre, banks, machinelearning, models, liquidityrisk, covid, crisismanagement, earlywarning

"This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early warnings of liquidity stress using market-based indicators."

Cyber Risk Assessment for Capital Management

18 mai 2022 Autre, cybersecurity, riskassessment, models, lossdistribution, capitalmanagement

"There appears a gap in cyber risk modeling between engineering and insurance literature. This paper presents a novel model to capture these unique dynamics of cyber risk known from engineering and to model loss distributions based on industry loss data and a particular company's cybersecurity profile. The analysis leads to a new tool for allocating resources of the company between cybersecurity investments and loss-absorbing reserves."

Model Validation - A Blue Print (Modellvalidierung - Eine Blaupause)

15 févr. 2022 Autre, banks, models, structural, design

"The aim is the design of a risk class independent approach, such that the model validation framework can be equally rolled out over all model dependent functions of a bank. The focus is on structural considerations."

Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models

9 févr. 2022 Autre, capitalrequirements, models, baseliii, dsge, banquedefrance

"... the effects of regulation are positive on GDP whenever the costs and benefits of regulation are both introduced. However, this result may be associated with a temporary economic slowdown in the transition to Basel III, which can be accommodated by monetary policy."

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