Since upgrades are rare, bonds issuers have stronger incentives to
... stock and bond valuations. For example, Dichev and Piotroski (2001) document a three-day market response to credit rating downgrades of -1.97 percent, suggesting that the economic costs associated with rating downgrades are substantial. The significant stock and bond market response to rating change ...
... stock and bond valuations. For example, Dichev and Piotroski (2001) document a three-day market response to credit rating downgrades of -1.97 percent, suggesting that the economic costs associated with rating downgrades are substantial. The significant stock and bond market response to rating change ...
Standard Bank Group
... In the instances where the group incurred losses, breached risk appetite or was fined by its regulators, the board is satisfied that management have taken appropriate remedial action. ...
... In the instances where the group incurred losses, breached risk appetite or was fined by its regulators, the board is satisfied that management have taken appropriate remedial action. ...
More Credit with Fewer Crises - weforum.org
... The financial crisis has thrown a harsh spotlight on the use of credit. Pockets of credit grew rapidly to excess – and brought the entire financial system to the brink of collapse. Yet, credit is the lifeblood of the economy, and much more of it will be needed to sustain the recovery and enable the ...
... The financial crisis has thrown a harsh spotlight on the use of credit. Pockets of credit grew rapidly to excess – and brought the entire financial system to the brink of collapse. Yet, credit is the lifeblood of the economy, and much more of it will be needed to sustain the recovery and enable the ...
detailed assessment report of lbtr, sistema de liquidación bruta en
... procedures of the Banking Law and the general normative powers of the BCCh in the field; however, these would not apply should non-banks be allowed to participate in the system. This issue impacts negatively settlement finality, and could have potential repercussions on credit and settlement risk. A ...
... procedures of the Banking Law and the general normative powers of the BCCh in the field; however, these would not apply should non-banks be allowed to participate in the system. This issue impacts negatively settlement finality, and could have potential repercussions on credit and settlement risk. A ...
Guidelines on Risk Based Capital Adequacy
... Capital and Disclosure requirement as stated in the guidelines had to be followed by all scheduled banks for the purpose of statutory compliance. Basel III reforms are the response of Basel Committee on Banking Supervision (BCBS) to improve the banking sector’s ability to absorb shocks arising from ...
... Capital and Disclosure requirement as stated in the guidelines had to be followed by all scheduled banks for the purpose of statutory compliance. Basel III reforms are the response of Basel Committee on Banking Supervision (BCBS) to improve the banking sector’s ability to absorb shocks arising from ...
Risk and Capital Management
... Risk reporting The Group Supervisory Board and the Group Executive Board receive regular reports on the risk development and the utilisation of the allocated risk limits and can therefore monitor whether the risk limits are adhered to and whether they are still appropriate for the Group. Finance and ...
... Risk reporting The Group Supervisory Board and the Group Executive Board receive regular reports on the risk development and the utilisation of the allocated risk limits and can therefore monitor whether the risk limits are adhered to and whether they are still appropriate for the Group. Finance and ...
Bank Indonesia Jakarta
... forward positions such a discount factors, exchange rates, and prices. This study will use the volatility of each relevant factor to calculate the present value of cash flows. For instance, if there are two cash in-flows of £100 for one and two months ahead, the present value is calculated based on ...
... forward positions such a discount factors, exchange rates, and prices. This study will use the volatility of each relevant factor to calculate the present value of cash flows. For instance, if there are two cash in-flows of £100 for one and two months ahead, the present value is calculated based on ...
Risk-Based Capital for Insurers in the United States
... within 45 days that details the causes and actions that have led up to the capital impairment as well as a plan for the restructuring of the insurer’s business to rebuild capital to acceptable levels. Alternatively, the company can detail plans to reduce its risk to a level commensurate with its act ...
... within 45 days that details the causes and actions that have led up to the capital impairment as well as a plan for the restructuring of the insurer’s business to rebuild capital to acceptable levels. Alternatively, the company can detail plans to reduce its risk to a level commensurate with its act ...
Liquidity Risk and Asset Pricing
... (7) the low price of certain hard-to-trade securities relative to more liquid counterparts with identical cash flows, such as restricted stocks or illiquid derivatives. ...
... (7) the low price of certain hard-to-trade securities relative to more liquid counterparts with identical cash flows, such as restricted stocks or illiquid derivatives. ...
More Mortgages, Lower Growth? - Economics of Credit And Debt
... Werner (1997) applied this insight to data on Japan for the 1980s and 1990s. In this paper we extend this disaggregation to a large panel of countries. Our paper is closely related to Beck et al. (2012). This paper was the first, to our knowledge, to decompose bank credit into enterprise credit and ...
... Werner (1997) applied this insight to data on Japan for the 1980s and 1990s. In this paper we extend this disaggregation to a large panel of countries. Our paper is closely related to Beck et al. (2012). This paper was the first, to our knowledge, to decompose bank credit into enterprise credit and ...
On Credit Risk Modeling and Management
... unlikely to pay its credit obligations or the obligor is past due more than 90 days on any material credit obligation” This is clearly an unclear definition Furthermore, in retail banking especially, it is very usual that obligors repay their debt in full after the passage of these 90 days. Very oft ...
... unlikely to pay its credit obligations or the obligor is past due more than 90 days on any material credit obligation” This is clearly an unclear definition Furthermore, in retail banking especially, it is very usual that obligors repay their debt in full after the passage of these 90 days. Very oft ...
Herman J. Bierens - Personal.psu.edu
... extreme movements. For instance, Duffee (1999) notices that failure of incorporating the GARCH effect in the conditional variance of individual bond credit spreads has resulted in model specification errors. Pedrosa and Roll (1998) find strong GARCH effect and nonnormality in the distribution of log ...
... extreme movements. For instance, Duffee (1999) notices that failure of incorporating the GARCH effect in the conditional variance of individual bond credit spreads has resulted in model specification errors. Pedrosa and Roll (1998) find strong GARCH effect and nonnormality in the distribution of log ...
CME SPAN - CME Group
... specific set of market conditions from a set point in time to a specific point in time in the future. • Risk Arrays typically consist of 16 profit/loss scenarios for each contract. • Each Risk Array scenario is comprised of a different market simulation, ...
... specific set of market conditions from a set point in time to a specific point in time in the future. • Risk Arrays typically consist of 16 profit/loss scenarios for each contract. • Each Risk Array scenario is comprised of a different market simulation, ...
Rating Symbols and Definitions
... institutions, structured finance vehicles, project finance vehicles, and public sector entities. Long-term ratings are assigned to issuers or obligations with an original maturity of one year or more and reflect both on the likelihood of a default on contractually promised payments and the expected ...
... institutions, structured finance vehicles, project finance vehicles, and public sector entities. Long-term ratings are assigned to issuers or obligations with an original maturity of one year or more and reflect both on the likelihood of a default on contractually promised payments and the expected ...
How and Why Credit Rating Agencies are not Like Other Gatekeepers
... information by as much as eighteen months).21 Concern about the failure of the rating ...
... information by as much as eighteen months).21 Concern about the failure of the rating ...
“Earnings management and idiosyncratic risk − evidence from the
... triggered the potential liquidity risks onto the financial system. Exogenous shocks actually affect the earnings management techniques which result in the idiosyncratic risk. Previous study indicates that the managers become less conservative and change the level of earnings management after the Asi ...
... triggered the potential liquidity risks onto the financial system. Exogenous shocks actually affect the earnings management techniques which result in the idiosyncratic risk. Previous study indicates that the managers become less conservative and change the level of earnings management after the Asi ...
Macroeconomic stress testing of a corporate credit portfolio Magister Scientiae By
... As a result, stress testing of portfolios by banks in an attempt to gauge the impact of adverse macroeconomic events is increasingly becoming an important aspect of risk management worldwide. Banking regulators have, in turn, became stringent with regard to stress testing and the Internal Capital Ad ...
... As a result, stress testing of portfolios by banks in an attempt to gauge the impact of adverse macroeconomic events is increasingly becoming an important aspect of risk management worldwide. Banking regulators have, in turn, became stringent with regard to stress testing and the Internal Capital Ad ...
Credit Rating and Short-Term Debt Financing: Empirical
... seller, requiring relatively higher debt costs than bank revolving line and commercial paper, both of which are market-based financing instruments. In the well-developed financial markets of industrialized countries such as USA and Western European countries, trade credits are prevailingly used whil ...
... seller, requiring relatively higher debt costs than bank revolving line and commercial paper, both of which are market-based financing instruments. In the well-developed financial markets of industrialized countries such as USA and Western European countries, trade credits are prevailingly used whil ...
The Role of Positions and Activities In Derivative Pricing A
... In Derivative Pricing A discussion of Mixon and Onur “Volatility Derivatives in Practice: Activity and Impact” ...
... In Derivative Pricing A discussion of Mixon and Onur “Volatility Derivatives in Practice: Activity and Impact” ...
Financial Development and Economic Growth in Bulgaria
... example, several bankers complained that business owners who request credit are reluctant to provide information about their business. They are concerned that the banks will pass this information to the ir competitors or that the bank inspector him/herself will take advantage of the project idea. Al ...
... example, several bankers complained that business owners who request credit are reluctant to provide information about their business. They are concerned that the banks will pass this information to the ir competitors or that the bank inspector him/herself will take advantage of the project idea. Al ...
Demutualization Risks and Credit Unions
... set to ditch its member-owned status after announcing it is putting itself up for sale. 250,000 policyholders, 150,000 of whom hold with-profits policies only this latter group would receive windfalls observers have claimed payouts could average £3,000plus. National Mutual … is talking to potential ...
... set to ditch its member-owned status after announcing it is putting itself up for sale. 250,000 policyholders, 150,000 of whom hold with-profits policies only this latter group would receive windfalls observers have claimed payouts could average £3,000plus. National Mutual … is talking to potential ...
The Good, the Bad, and the Ugly: An inquiry into the causes and
... the equilibrium dynamics display some features reminiscent of the popular argument. Contrary to the popular argument, however, the agents are assumed to be fully rational and instability is not caused by “euphoria,” “manias,” or “irrational exuberance.” Indeed, fluctuations are not at all driven by ...
... the equilibrium dynamics display some features reminiscent of the popular argument. Contrary to the popular argument, however, the agents are assumed to be fully rational and instability is not caused by “euphoria,” “manias,” or “irrational exuberance.” Indeed, fluctuations are not at all driven by ...
Market conditions, default risk and credit spreads
... 2006.4 In this study, we use CDS prices for non-sovereign US corporate bond issuers denominated in US dollars, with the reference issue ranked senior. The CDS contracts in our sample have maturities between 4.5 and 5.5 years. Monthly data are obtained by averaging transactions within the month. In o ...
... 2006.4 In this study, we use CDS prices for non-sovereign US corporate bond issuers denominated in US dollars, with the reference issue ranked senior. The CDS contracts in our sample have maturities between 4.5 and 5.5 years. Monthly data are obtained by averaging transactions within the month. In o ...
Capital Adequacy Ratio Report
... Bank and conducts a comprehensive analysis on the risk profile and management status of various substantive risks. The capital adequacy forecast is to forecast changes in risk-weighted assets and capital, taking into account the Bank’s business planning and financial planning so as to further predic ...
... Bank and conducts a comprehensive analysis on the risk profile and management status of various substantive risks. The capital adequacy forecast is to forecast changes in risk-weighted assets and capital, taking into account the Bank’s business planning and financial planning so as to further predic ...
Etiqa Insurance Berhad Overall Risk Level Basis of Unit Valuation
... communicated to the policyholders upon any request for top-up, switching, or withdrawal to or from the fund. • At any time, we reserve the right to close any fund, or to transfer the investments to a new fund, subject to prior approval by the regulator. In such an event, we will provide 90 days prio ...
... communicated to the policyholders upon any request for top-up, switching, or withdrawal to or from the fund. • At any time, we reserve the right to close any fund, or to transfer the investments to a new fund, subject to prior approval by the regulator. In such an event, we will provide 90 days prio ...