market reactions to the credit risk announcements

... is the first to model and test the behavior of bond and stock liquidities around credit rating announcements. Second, we report the results of both the corporate bond market and the stock market. ... incorporated into the stock market than the bond market, so that liquidity transitions will be better detected in the stock market. We separate the short-term effec...

Ngày tải lên: 03/06/2014, 02:06

... • • The adequacy of the documentation of the risk management system and process;  The organisation of the risk control unit; The integration of market risk measures into daily risk management; ... by the Basel Committee in July 1994 further discusses the responsibilities of the board of directors and senior management. Revisions to the Basel II market...

Ngày tải lên: 24/10/2012, 09:40

... capital for credit risk, which is assumed to be separable from other risks such as market risk. Economic theory tells us that market and credit risk are intrinsically related to each other and, ... the statement that market risk and credit risk are perfectly correlated. There is not one but many factors that aect market risk exposure, the probability of defaul...

Ngày tải lên: 15/03/2014, 04:20

... process altogether. One way that regu- lators can offer incentives to the markets is to require them to hold the riskiest segments (the equity tranches) of their structured finance products on their ... required the originator to take back the repackaged assets; but, provided the seller met some fairly minimal standards to ensure the predicted default risk was accepta...

Ngày tải lên: 15/03/2014, 07:20

... customer and a third party and provides a guarantee to the customer that the third party will perform on its obligations, then the risk to the bank is the same as if the bank had entered into ... of the collateral and on the nature of the transaction. 118. The comprehensive approach aims to capture these risks in a way that encourage banks to improve their credi...

Ngày tải lên: 29/03/2014, 06:21

... integrate these three types of risk, people started worrying about operational risk, basis risk, mortality risk, weather risk, estimation risk, counterparty credit risk, and even the risk that ... from market risk, because you can lose money lending whether a market exists or not. Fine, I got that, but then came liquidity risk on top of market and credit risk. Just...

Ngày tải lên: 03/04/2014, 18:47

... assets to collect debts. When the deadline comes, if the customer cannot pay the debts, the bank can sell the assets by order of the court immediately. It is not essential to take each other to the ... risk, payment risk, and risk of unable to pay. - Interest risks: “are the risks that the bank must bear when the market interest varies.” Consequently, when...

Ngày tải lên: 27/10/2012, 16:49

... the market to allow you to sail through the rest of the book. The trick is to learn about the market in small steps, which is exactly how I present the information to you. The Stock Market: The ... U.S. stock exchanges other than the three major ones include the Cincinnati Stock Exchange, the Pacific Stock Exchange, the Boston Stock Exchange, and the Phi...

Ngày tải lên: 24/10/2013, 08:20

Ngày tải lên: 25/10/2013, 17:20

... adjustment in the calculation of CET1 where this is necessary to ensure that CET1 reflects the protection available to depositors and other senior creditors on the failure of the bank. Before ... assuming the bank is default -risk free and the value reflecting default risk of the bank. 5 Changes in a bank’s own credit risk therefore result in changes in the DV...

Ngày tải lên: 15/02/2014, 13:20