65 résultats
pour « banks »
Proposes a set of novel modeling mechanisms to regulate the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk combined with a structural framework for credit risk assessment. It applies the model to the European banking sector and finds differences with the capital buffers currently assigned by national regulators, which have substantial implications for systemic risk in the EEA.
Proposes a new framework for regulating operational threats such as damage to physical assets, business disruption, and system failures. It suggests replacing rwa regulation with simple buffers of equity and outlines what a "macro-operational" approach to banking supervision might look like. It also acknowledges the limitations of macro-operational supervision and considers what new types of operations-specific emergency tools might need to be devised in response.
"We show that past operational losses are informative of future losses, even after controlling for a wide range of financial characteristics. We propose that the information provided by past losses results from them capturing hard to quantify factors such as the quality of operational risk controls, the risk culture, and the risk appetite of the bank."
"The article provides a short overview of methods for constructing mathematical models in the form of Bayesian Networks for modeling operational risks under conditions of uncertainty. Let’s provide the sequence of actions necessary for creating a model in the form of the network, methods for computing a probabilistic output in BN, and give examples of using the tool to solve practical problems of operational financial risk estimation."
"While stress testing has modernized banks’ internal risk management by spurring the acquisition of highly skilled risk management talent, recent changes to the tests could erode its efficacy."
"This paper ... documents some of the most prominent cases of misconduct, which it summarizes in terms of operational risk losses (using Turner’s framework for analyzing organizational disasters) and also details some egregious examples of operational risk events ..."
"... compares two industries where legislative requirements differ, but it finds the same pattern: the ideals of enterprise risk management are being not implemented in practice."
"... banks with shorter employee tenures and higher fractions of MBAs, top school graduates, and job jumpers performed more poorly during the Great Recession. This relation is driven by the predisposition of these banks to take on greater risk."
"By identifying research gaps and conceptualizing a research agenda, this paper continues to serve the academia to broaden the research field of risk disclosure, esp. for banks."
"... our findings provide new evidence regarding U.S. banking organizations' exposure to climate risks with implications for risk management practices and supervisory policy."