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Keywords: Basel II
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Journal Articles
Does the market discipline banks? Evidence from Balkan states
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (4): 418–436.
Published: 03 June 2022
... 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only CAMEL Market discipline Deposit switching Cost of funds Risk management Basel II G20 G21 G28 With a rich history and strategic geographic location, the Balkan states...
Journal Articles
Operational risk capital charges (Basel II): factoring in external loss data to the internal datasets
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2015) 16 (5): 519–535.
Published: 16 November 2015
... levels of operational risk that affect their own Advanced Measurement Approach to capital charges under Basel II. The existing consortium data sets are not suitable for non-bank financial institutions. With this in mind, the non-bank firms should select only the parts of the external data that fit...
Journal Articles
Concentration risk model for Greek bank's credit portfolio
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (1): 71–93.
Published: 28 January 2014
...Constantinos Lefcaditis; Anastasios Tsamis; John Leventides Purpose – The IRB capital requirements of Basel II define the minimum level of capital that the bank has to retain to cover the current risks of its portfolio. The major risk that many banks are facing is credit risk and Basel II...
Journal Articles
Parsimonious exposure‐at‐default modeling for unfunded loan commitments
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2011) 13 (1): 77–94.
Published: 30 December 2011
... with internal bank financial institution research, can be used for banks' EAD estimation as mandated by Basel II for bank CCL portfolios, or implemented as part of a Solvency II process for insurers exposed to credit sensitive unfunded commitments. Apart from regulatory requirements, distributions of stochastic...
