Browse

You are looking at 1 - 6 of 6 items :

  • Keywords: Financial Institutions and Services: General, x
Clear All
How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Source: How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933791.001

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

Next Generation System-Wide Liquidity Stress Testing

Next Generation System-Wide Liquidity Stress Testing »

Volume/Issue: 2012/3

Series: IMF Working Papers

Author(s): Claus Puhr , Andre Santos , Christian Schmieder , Salih Neftci , Benjamin Neudorfer , Stefan Schmitz , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781475502466.001

ISBN: 9781475502466

Keywords: StressTesting, Basel III, liquidity, solvency, cash flow, maturity, Monetary and Capital Markets Department, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module...

Next Generation System-Wide Liquidity Stress Testing1

Next Generation System-Wide Liquidity Stress Testing1 »

Source: Next Generation System-Wide Liquidity Stress Testing

Volume/Issue: 2012/3

Series: IMF Working Papers

Author(s): Claus Puhr , Andre Santos , Christian Schmieder , Salih Neftci , Benjamin Neudorfer , Stefan Schmitz , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781475502466

Keywords: StressTesting, Basel III, liquidity, solvency, cash flow, maturity, Monetary and Capital Markets Department, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module...

Introduction to Applied Stress Testing

Introduction to Applied Stress Testing »

Volume/Issue: 2007/59

Series: IMF Working Papers

Author(s): Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2007

DOI: http://dx.doi.org/10.5089/9781451866230.001

ISBN: 9781451866230

Keywords: banking, foreign exchange, capital adequacy, financial stability, financial sector, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illus...

Introduction to Applied Stress Testing

Introduction to Applied Stress Testing »

Source: Introduction to Applied Stress Testing

Volume/Issue: 2007/59

Series: IMF Working Papers

Author(s): Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2007

ISBN: 9781451866230

Keywords: banking, foreign exchange, capital adequacy, financial stability, financial sector, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illus...