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pour « banks »
"... we conclude that the Prophet model does a good job of forecasting bank capital ratios, which could supplement bank stress tests by regulatory agencies."
"We find that banks manage regulatory capital to exceed the threshold and thus to pay lower deposit insurance fees and to have access brokered deposits and financial activities. To reach the threshold, banks use accounting discretion over accruals and real activities, increase equity, and change risk-weighted assets."
"This paper presents an overview of key proposals formulated by the European Systemic Risk Board (ESRB), the European Banking Authority (EBA) and the European Central Bank (ECB) in the context of the review of the macroprudential policy framework of the European Union (EU), aimed at improving its operation and efficiency over the medium term."
"We ... estimate the quarterly evolution of expected losses (Capital at Risk) for the UK banking sector, and via Monte Carlo simulations the stochastic distribution of UK banks’ losses to study the severity and likelihood of tail-events (Conditional Capital at Risk). In the end, we provide insights on the impact of the Covid-19 pandemic on UK banking system’s loss distribution by decomposing the sources of average and tail risks."
"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the increased sensitivity and heterogeneity of the Δ-CoES to set short-term capital requirements/risk limits, find problematic financial linkages, problematic financial institutions or have some kind of early warning system for the emergence of systemic risk."
"Using a broad international sample, we find that banks with better governance in countries with better regulatory quality have lower risk. These results are stronger in more developed countries and in countries with less concentrated banking sectors."
"Building on the Liquidity Coverage Ratio created under the Basel III regulatory agreement, this paper introduces the notion of Liquidity Coverage at Risk (LCRisk), which is the probability that a bank becomes insolvent in the next 30-days. LCRisk has a closed-form expression and it can be computed using information contained in the bank’s balance sheet."
"Bank employees are more susceptible to being phished than professional services firm employees, but within the bank, the employees with professional certificates are less susceptible to phishing attacks than other bank employees. Also, employees with self-reported responsibility for cybersecurity are less likely to be phished."
"Using a sample of bank holding companies over the period 2015Q1 through 2020Q1, we find that risk exposure increases for the large banks that benefitted from the removal of certain regulatory provisions. These banks also benefit from higher profitability and reduced compliance costs."
"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."