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Introduction

Hal S. Scott

in Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Published in print:
2005
Published Online:
January 2007
ISBN:
9780195169713
eISBN:
9780199783717
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195169713.003.intro
Subject:
Economics and Finance, Financial Economics

This introductory chapter begins with a discussion of the proposed revision of the rules for the regulation of capital adequacy developed by the Basel Committee on Banking Supervision. It then ... More


Consumer Credit Models: Pricing, Profit and Portfolios

Lyn C. Thomas

Published in print:
2009
Published Online:
May 2009
ISBN:
9780199232130
eISBN:
9780191715914
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199232130.001.1
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

Credit scoring — the quantitative and statistical techniques which assess the credit risks when lending to consumers — has been one of the most successful if unsung applications of mathematics in ... More


Enforcement of Risk‐Based Capital Rules

Philip A. Wellons

in Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Published in print:
2005
Published Online:
January 2007
ISBN:
9780195169713
eISBN:
9780199783717
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195169713.003.0008
Subject:
Economics and Finance, Financial Economics

This chapter examines the role of enforcement for capital adequacy regulation in US banking and securities markets. Very little is known about how enforcement works: What broken rules are being ... More


Epilogue: The Banking Crisis of 2007–2008

Hans Degryse, Moshe Kim, and Steven Ongena

in Microeconometrics of Banking: Methods, Applications, and Results

Published in print:
2009
Published Online:
October 2011
ISBN:
9780195340471
eISBN:
9780199852406
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195340471.003.0011
Subject:
Economics and Finance, Microeconomics

This chapter provides an epilogue on the banking crisis of 2007–2008. It briefly discusses empirical work that investigates one of the root causes of the banking crisis: the abundance of liquidity ... More


No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures”

Mark J. Flannery

in Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Published in print:
2005
Published Online:
January 2007
ISBN:
9780195169713
eISBN:
9780199783717
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195169713.003.0005
Subject:
Economics and Finance, Financial Economics

The deadweight costs of financial distress limit many firms' incentive to include a lot of (tax-advantaged) debt in their capital structures. It is therefore puzzling that firms do not make advance ... More


Country default risk in emerging markets 1

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0007
Subject:
Economics and Finance, Financial Economics

Early Warning Signals of a default or debt crisis are derived by drawing upon the stochastic optimal control model of an optimal and excessive short-term debt developed in chapter 2. Operational ... More


The Economic Theory of Systemic Risk

E. Philip Davis

in Debt, Financial Fragility, and Systemic Risk

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198233312
eISBN:
9780191596124
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198233310.003.0006
Subject:
Economics and Finance, Financial Economics

Turning from financial fragility to systemic risk, the next two chapters seek to make an initial assessment of the causes, nature, and consequences of financial instability in contemporary financial ... More


Global modelling and other applications

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0012
Subject:
Economics and Finance, Econometrics

This chapter describes some recent extensions of the model and some other applications. These include an introduction to the development of a model of the global macroeconomy using the long-run ... More


Defaultable Bonds and Credit Derivatives

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0013
Subject:
Economics and Finance, Financial Economics

For bonds and other financial contracts issued by some firms and countries, there is a non-negligible risk that the issuer will default and the holder of the contract will not receive the promised ... More


The Development of Main Bank Managerial Capacity

Satoshi Sunamura

in The Japanese Main Bank System: Its Relevance for Developing and Transforming Economies

Published in print:
1995
Published Online:
August 2004
ISBN:
9780198288992
eISBN:
9780191601224
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288999.003.0009
Subject:
Economics and Finance, Financial Economics, South and East Asia

This chapter examines the way a Japanese main bank develops its managerial capacity. It is shown that the know-how of main banks can be universally adopted if managerial capacity, human resources, ... More


Managing Risks in the Banking Firm

Hans Degryse, Moshe Kim, and Steven Ongena

in Microeconometrics of Banking: Methods, Applications, and Results

Published in print:
2009
Published Online:
October 2011
ISBN:
9780195340471
eISBN:
9780199852406
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195340471.003.0008
Subject:
Economics and Finance, Microeconomics

This chapter discusses the empirical management of risks in the banking firm. In terms of methodology, it broaches the assumptions, estimation approaches, and issues of the value at risk and ... More


Over-the-Counter Markets

Darrell Duffie

in Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691138961
eISBN:
9781400840519
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691138961.003.0001
Subject:
Economics and Finance, Financial Economics

This chapter introduces the institutional setting of over-the-counter (OTC) markets and raises some of the key conceptual issues associated with market opaqueness. An OTC market does not use a ... More


Measuring and Managing Credit and Other Risks

Gabriele Sabato

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0016
Subject:
Economics and Finance, Financial Economics

During the last 40 years, risk management has evolved tremendously. The technologies and methodologies to measure risks have reached impressive levels of sophistication and complexity. However, the ... More


How and Why Credit Assessors “Get it Wrong” When Judging the Risk of Borrowers: Past and Present Evidence at Home and Abroad

Paul M. Vaaler and Gerry McNamara

in A Debtor World: Interdisciplinary Perspectives on Debt

Published in print:
2012
Published Online:
January 2013
ISBN:
9780199873722
eISBN:
9780199980000
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199873722.003.0005
Subject:
Law, Company and Commercial Law

This chapter presents empirical and theoretical evidence that lending decisions are fundamentally and systematically flawed. The first part summarizes a decade of individual and joint research on ... More


Systemic Risk and Regulation

Franklin Allen and Douglas Gale

in The Risks of Financial Institutions

Published in print:
2007
Published Online:
February 2013
ISBN:
9780226092850
eISBN:
9780226092980
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092980.003.0008
Subject:
Economics and Finance, Financial Economics

This chapter explains that inefficient regulation can result in risk-transfer activity that is focused on evasion of regulation, and that such activity can increase systemic risk. It also provides ... More


Credit Derivatives

Udo Broll, Simone Raab, and Peter Welzel

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0027
Subject:
Economics and Finance, Financial Economics

Since the 1990s credit derivatives allowing the transfer of credit risk without transferring the underlying loan have become an important form of financial contracts. This chapter outlines basic ... More


Lender Incentives, Credit Risk, and Securitization: Evidence from the Subprime Mortgage Crisis

Amir Sufi

in A Debtor World: Interdisciplinary Perspectives on Debt

Published in print:
2012
Published Online:
January 2013
ISBN:
9780199873722
eISBN:
9780199980000
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199873722.003.0004
Subject:
Law, Company and Commercial Law

This chapter focuses on the tension between the preservation of lender incentives and shedding credit risk. It addresses this issue in three steps. First, it discusses foundational theories of ... More


Turning Points: Default Risk on Two Sides of the Atlantic

William R. Summerhill

in Inglorious Revolution: Political Institutions, Sovereign Debt, and Financial Underdevelopment in Imperial Brazil

Published in print:
2015
Published Online:
January 2016
ISBN:
9780300139273
eISBN:
9780300218619
Item type:
chapter
Publisher:
Yale University Press
DOI:
10.12987/yale/9780300139273.003.0005
Subject:
Economics and Finance, Economic History

This chapter focuses on the evolution of Brazil's credit risk between 1824 and 1889. It determines changes in the government's creditworthiness by reference to the default premium on Brazilian bonds ... More


Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

Mark Carey

in Prudential Supervision: What Works and What Doesn't

Published in print:
2002
Published Online:
February 2013
ISBN:
9780226531885
eISBN:
9780226531939
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226531939.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter uses the Monte Carlo resampling method of Carey (1998) to provide nonparametric empirical evidence about the practical importance to portfolio bad-tail loss rates of several different ... More


Energy Risk Management

Thomas Barkley

in Commodities: Markets, Performance, and Strategies

Published in print:
2018
Published Online:
March 2018
ISBN:
9780190656010
eISBN:
9780190656041
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190656010.003.0024
Subject:
Economics and Finance, Financial Economics

The backdrop of rapid growth of worldwide energy consumption and increasing concerns about global energy sustainability and environment protection, as well as an increasing uncertainty of commodity ... More


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