Sökning: "banking supervision"

Visar resultat 11 - 15 av 53 uppsatser innehållade orden banking supervision.

  1. 11. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jesper Johansson; Viktor Fredriksson; [2020]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Empirical; Risk; Business and Economics;

    Sammanfattning : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. LÄS MER

  3. 12. THE BASEL III LIQUIDITY REQUIREMENTS AND BANKS’ STOCK RETURNS : A quantitative study of the impact of the Basel III liquidity requirements on the banks’ stock returns.

    Magister-uppsats, Umeå universitet/Företagsekonomi

    Författare :Claire Maraval; Ekaterina Nedorezova; [2019]
    Nyckelord :;

    Sammanfattning : The 2008 financial crisis highlighted the critical need for more liquidity regulation in the financial sector, in particular among the banking industry. In November 2010, the Basel Committee on Banking Supervision introduced two new liquidity requirements,based on the liquidity coverage ratio (LCR) and on the net stable fund ratio (NSFR). LÄS MER

  4. 13. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anna Bijelic; Tilila Ouijjane; [2019]
    Nyckelord :Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

    Sammanfattning : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. LÄS MER

  5. 14. Investigating the Potential of Using SOM on Audit Changed Trades

    Master-uppsats, KTH/Teknisk informationsvetenskap

    Författare :Thomas Montzka; [2018]
    Nyckelord :;

    Sammanfattning : During the last 20 years, operational risk has been identified as an considerablerisk that needs to be tracked and handled, particular in the financial industry.The Basel Committee on banking supervision is a global cooperation thatsets standard regulations for banking corporations. LÄS MER

  7. 15. The Icelandic Banking Saga : The ways to deal or not to deal with a systemic banking crisis

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Juridiska institutionen

    Författare :Kristina Borodina; [2018]
    Nyckelord :;

    Sammanfattning : Every key feature of the Icelandic banking in the run-up to the 2008 year meltdown can be viewed as an emblem of the concept systemic banking crisis. The concept of a banking crisis is usually defined as “an event that shows significant signs of financial distress in the banking system and which is usually associated with significant bank runs, big losses in the banking system and bank liquidations. LÄS MER