Credit Risk, Regulatory Capital and Collateral
Regulatory Capital Modelling for Credit Risk
... systematic risk factor describing the prevailing state of Australia’s economy, and estimates of distance-to-default reflecting the capacity of its banking sector to absorb credit ...hence regulatory ...
159
Essays on Improvements to the Regulatory Capital Framework for Credit Risk
... the credit risk context has been difficult due to lack of ...the capital requirements of the Standardised Approach and the Internal Ratings-Based ...for regulatory authorities which plan on a ...
153
Using credit risk models for regulatory capital: issues and options
... models capital requirement to develop and use a comprehensive credit risk ...the risk factors that are most important to their business ...
18
Interbank Lending, Credit-Risk Premia, and Collateral
... Several recent papers examine various frictions in interbank mar- kets that can justify a policy intervention. The role of asymmetric information about credit risk is emphasized in Heider, Hoerova, and ...
39
Regulatory capital for market and credit risk interaction: is current regulation always conservative?
... integrated risk is higher than pure credit ...integrated risk to the sum of pure market risk and pure credit ...integrated risk modelling seems to take a different ...and ...
44
Credit default swaps and regulatory capital relief
... higher capital requirements may have provided them with an additional incentive to engage in regulatory ...circumvent regulatory requirements by strategically managing their balance sheet variables ...
16
Industry practices in credit risk modeling and internal capital allocations: implications for a models-based regulatory capital standard
... of credit risk models are sub- stantial, they do not appear to be ...insurmountable. Credit risk models are progressing so rapidly it is conceivable they could become the foundation for a new ...
8
Backtesting for Risk-Based Regulatory Capital
... other risk mea- surement methods) are level-based methods, meaning that one first has to choose a level; given this level, the risk depends on the corresponding left-hand tail of the profit and loss ...
31
Collateral, Type of Lender and Relationship Banking as Determinants of Credit Risk
... without collateral (the coefficient of the variable, collateral times number of banks’ relationships, is ...with collateral are always riskier, the difference in the risk with those without ...
28
Collateral and Credit Supply
... by risk class if lenders believe that the level of secured loan indicates the project’s ...of collateral in a loan ...for credit rationing is not asymmetric information, a common rationale used in ...
28
Collateral and Credit Rationing
... on collateral and ...of credit against the envisioned ...the credit market is a significant ...homogeneous capital structure than SMEs, disaggregation along the lines of their primary sources ...
13
Australian Bank Credit Risk Management: A Regulatory Examination of Provisioning, Capital Adequacy & Stress-Testing
... increased risk-sensitivity a number of critics have raised the concern that capital requirements would become more dependent on the business ...for credit and the supply of deposit funds to banks are ...
254
Collateral Management Regulatory Requirements
... of risk mitigation ...that collateral requirements include compliance with an additional burden ...that collateral management business services, and acts as a member of automation can only watch ...
17
Regulatory Change and Capital Adjustment of US Credit Unions
... in credit union capitalization that followed the financial ...crisis, credit unions classified as adequately capitalized or below followed a faster adjustment path following an adverse capitalization shock ...
44
Regulatory Change and Capital Adjustment of US Credit Unions
... in credit union capitalization that followed the financial ...crisis, credit unions classified as adequately capitalized or below followed a faster adjustment path following an adverse capitalization shock ...
45
Regulatory capital determination and Its implications for internal ratings based credit risk model development and validation
... in credit quality so that the foregone portfolio loss analysis can ...and regulatory capital hold only ...why regulatory capital is not assessed at individual obligor or exposure ...
15
The Role of Collateral in Credit Markets
... of collateral. The first is called inside collateral, in which the borrower uses an asset in the project to be financed as collateral; if there is a default, the lender takes possession of the ...
13
Credit Risk and the Role of Capital Adequacy Regulation
... of capital adequacy regu- lation there exists an incentive for banks to engage in active risk management, ...if regulatory rules accept such hedging operations as risk reducing which part of ...
17
Dependent Revenues, Capital Risk and Credit Rationing
... In our setup, not only a change in q, but also small changes in other parame- ters, e.g., the number of households H, can influence the type of equilibrium. 4.2 Stochastic degree of dependency Instead of assuming that ˜ ...
62