The main objective of this paper is to assess the exposure of Islamic stock indexes to
systemic tail events. We use Conditional Value-at-Risk (CoVaR) and Delta CoVaR …

This paper analyzes performance and portfolio choice of banks' investments across
business units using methodologies developed mainly for equity investments. The …

This chapter investigates the presence of a difference in the systemic risk level between
Islamic and conventional banks in Bangladesh. The authors compare systemic resilience of …

Borrower of mortgage, 201 Borrower-centric approach analyses and procedures, 77–78
commercial banking industry, 92 content validity, 79 data and methodology, 75 data …

This paper considers characteristics of the capital requirements proposed in The New Basel
Capital Accord (2001). Formal analysis identifies calibration features that could give rise to …

The corporate loans business of banks is often unprofitable. As it does not earn the cost of
capital plus an additional profit margin, it is stigmatized as a value‐destroyer. Two rather …

Abstract Value-at-risk (VaR) models often are used to estimate the equity investment that is
required to limit the default rate on funding debt. Typical VaR" buffer stock" capital …

Advocates for internal model-based capital regulation argue that this approach will reduce
costs and remove distortions that are created by rules-based capital regulations. These …

Value-at-Risk (VAR) measures often are used as a basis for setting so-called “economic
capital” or buffer stock measures of equity capitalization requirements. VAR measures do not …

Abstract G-30, Basel Committee on Banking Supervision, Bank of International Settlements
and most Central Banks across the globe have endorsed Value at Risk (VaR) as a standard …