Sökning: "banks economic risk exposures"

Hittade 3 uppsatser innehållade orden banks economic risk exposures.

1. 1. Banks' Economic Risk Exposures in a Low Interest Rate Environment

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Ebba Bogfors; Jessica Stefansson; [2021]
   Nyckelord :Credit Risk; Interest Rate Exposure; Low Interest Rates; Bank Profitability; Factor Models;

   Sammanfattning : This paper studies banks' economic risk exposures over time using daily frequency data. We find that the theoretical risk factors banks are exposed to, credit risk and interest rate risk, are alone unsuccessful in explaining variation in bank equity returns. LÄS MER

3. 2. What Drives Bank Stock Returns? An Analysis Using Factor Models

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Michael Bailey; Josef Matyas; [2019]
   Nyckelord :Banks; Asset pricing; Factor models; Interest rate exposure;

   Sammanfattning : What drives bank returns and how different are they compared to non-financial firms? Have banks' risk exposures changed since the great financial crisis? We construct Fama-French type factors of U.S. LÄS MER

4. 3. Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Simon Koskinen Rosemarin; [2014]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : The recent European sovereign-debt crisis has made it clear that exposures towards sovereigns contain credit risk. However, according to the Basel framework's standardized approach banks are not required to hold any regulatory capital for highly rated sovereigns. LÄS MER