Integrated models of capital adequacy - Why banks are undercapitalised
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Alessandri, Piergiorgio & Drehmann, Mathias, 2010.
"An economic capital model integrating credit and interest rate risk in the banking book,"
Journal of Banking & Finance,
Elsevier, vol. 34(4), pages 730-742, April.
- Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
- Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Bank of England working papers 388, Bank of England.
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
- Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
- Rosenberg, Joshua V. & Schuermann, Til, 2006.
"A general approach to integrated risk management with skewed, fat-tailed risks,"
Journal of Financial Economics,
Elsevier, vol. 79(3), pages 569-614, March.
- Joshua V. Rosenberg & Til Schuermann, 2004. "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports 185, Federal Reserve Bank of New York.
- Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
- Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
- Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Dirk Tasche, 2007. "Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle," Papers 0708.2542, arXiv.org, revised Jun 2008.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:ecmode:v:65:y:2017:i:c:p:67-74 is not listed on IDEAS
- Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
- D. E. Allen & M. McAleer & R. J. Powell & A. K. Singh, 2016.
"A capital adequacy buffer model,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 23(3), pages 175-179, February.
- Allen, D.E. & Powell, R.J. & Singh, A.K., 2013. "A Capital Adequacy Buffer Model," Econometric Institute Research Papers EI 2013-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David Allen & Michael McAleer & Robert Powell & Abhay Singh, 2013. "A Capital Adequacy Buffer Model," Working Papers in Economics 13/35, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE 2013-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David Allen & Michael McAleer, 2013. "A Capital Adequacy Buffer Model," Tinbergen Institute Discussion Papers 13-168/III, Tinbergen Institute.
- McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
- repec:spr:annopr:v:237:y:2016:i:1:d:10.1007_s10479-015-1789-5 is not listed on IDEAS
- repec:eee:intfin:v:48:y:2017:i:c:p:135-145 is not listed on IDEAS
- Guidara, Alaa & Lai, Van Son & Soumaré, Issouf & Tchana, Fulbert Tchana, 2013.
"Banks’ capital buffer, risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes,"
Journal of Banking & Finance,
Elsevier, vol. 37(9), pages 3373-3387.
- Guidara, Alaa & Lai, Van Son & Soumaré, Issouf & Tchana Tchana, Fulbert, 2013. "Banks’ Capital Buffer, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes," MPRA Paper 44105, University Library of Munich, Germany.
- repec:asi:adprev:2017:p:100-119 is not listed on IDEAS
- Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
- Vithessonthi, Chaiporn, 2014. "The effect of financial market development on bank risk: evidence from Southeast Asian countries," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 249-260.
More about this item
KeywordsRisk management Economic capital Enterprise risk management Basel II Solvency II Stochastic models Stress testing;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:12:p:2838-2850. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.