Verfügbarkeit: Measuring Integrated Market and Credit Risks in Bank Portfolios

Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operation in South Africa

The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribu...

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1. Verfasser:	Papapanagiotou, Panagiotis (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2000
Schriftenreihe:	IMF Working Papers Working Paper No. 00/212
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribution of future bank capital ratios. This forward-looking quantitative risk assessment methodology allows banks and regulators to identify risks before they materialize and make appropriate adjustments to banks' portfolios. This model was applied to the study of the risk profile of the largest South African banks in the context of the Financial System Stability Assessment (FSSA) (1999)
Beschreibung:	1 Online-Ressource (50 p)
ISBN:	145187488X 9781451874884

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spelling	Papapanagiotou, Panagiotis Verfasser aut Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa Papapanagiotou, Panagiotis Washington, D.C International Monetary Fund 2000 1 Online-Ressource (50 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 00/212 The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribution of future bank capital ratios. This forward-looking quantitative risk assessment methodology allows banks and regulators to identify risks before they materialize and make appropriate adjustments to banks' portfolios. This model was applied to the study of the risk profile of the largest South African banks in the context of the Financial System Stability Assessment (FSSA) (1999) Online-Ausg Barnhill, Theodore M. Sonstige oth Schumacher, Liliana Sonstige oth http://elibrary.imf.org/view/IMF001/00005-9781451874884/00005-9781451874884/00005-9781451874884.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Papapanagiotou, Panagiotis Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa
title	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa
title_auth	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa
title_exact_search	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa
title_exact_search_txtP	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa
title_full	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa Papapanagiotou, Panagiotis
title_fullStr	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa Papapanagiotou, Panagiotis
title_full_unstemmed	Measuring Integrated Market and Credit Risks in Bank Portfolios An Application to a Set of Hypothetical Banks Operation in South Africa Papapanagiotou, Panagiotis
title_short	Measuring Integrated Market and Credit Risks in Bank Portfolios
title_sort	measuring integrated market and credit risks in bank portfolios an application to a set of hypothetical banks operation in south africa
title_sub	An Application to a Set of Hypothetical Banks Operation in South Africa
url	http://elibrary.imf.org/view/IMF001/00005-9781451874884/00005-9781451874884/00005-9781451874884.xml
work_keys_str_mv	AT papapanagiotoupanagiotis measuringintegratedmarketandcreditrisksinbankportfoliosanapplicationtoasetofhypotheticalbanksoperationinsouthafrica AT barnhilltheodorem measuringintegratedmarketandcreditrisksinbankportfoliosanapplicationtoasetofhypotheticalbanksoperationinsouthafrica AT schumacherliliana measuringintegratedmarketandcreditrisksinbankportfoliosanapplicationtoasetofhypotheticalbanksoperationinsouthafrica

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