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fama-french factor models, vector auto-regressions, granger causation tests, dynamic conditional alphas, macroeconomic innovations, and asset return anomalies
Bank Leverage, Capital, Macroeconomic Default Adjustment, Monte Carlo Simulation, Macro-Prudential Stress Test, Loan Portfolio Segmentation, Logit Default Likelihood Analysis
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bank capital, leverage, macroeconomic cycle, default probability, Monte Carlo simulation, Basel capital accord
Permanent capital hypothesis, DSGE, GMM, Fama-French, Epstein-Zin, intermediary capital, q-theory, intertemporal CAPM, cash payout, debt substitution
Dynamic convergence of Berle-Means incumbent stock ownership dispersion; law and finance; corporate governance; investor protection; managerial entrenchment; rent protection
corporate finance, privately held enterprise, capital adequacy, financial contentment, long-term sustainability
Credit risk, interest rate risk, credit default swap, fair value spread, panel regression
CreditGrades, credit default swap spreads, credit risk model, default probability, global financial crisis
Operational risk, Basel home-host cooperation, corporate governance, risk management, standalone capability, capital allocation, loss distribution approach (LDA), PIllar 2 internal capital adequacy assessment process (ICAAP), inter-jurisdictional diversification, insurance, derivative risk transfer
corporate governance, corporate ownership, legal protection, asset specificity, path dependence, convergence, Berle-Means modern corporation
Basel capital framework, bank capital adequacy, risk parameter adjustment, macroeconomic cycle, market risk, credit risk, operational risk, procyclicality risk, strategic risk
Basel model development, Monte Carlo simulation, asymptotic single risk factor model, credit risk, segmentation, retail mortgage segmentation, k-means cluster analysis, risk capital management, asset correlation analysis