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Journal Article
Risk-adjusted deposit insurance premiums

FRBSF Economic Letter

Working Paper
A comparative anatomy of credit risk models

Within the past two years, important advances have been made in modeling credit risk at the portfolio level. Practitioners and policy makers have invested in implementing and exploring a variety of new models individually. Less progress has been made, however, with comparative analyses. Direct comparison often is not straightforward, because the different models may be presented within rather different mathematical frameworks. This paper offers a comparative anatomy of two especially influential benchmarks for credit risk models, J.P. Morgan's CreditMetrics and Credit Suisse Financial ...
Finance and Economics Discussion Series , Paper 1998-47

Conference Paper
The market perception of bank off balance sheet activities

Proceedings , Paper 120

Journal Article
Why do banks' loan losses differ?

Economic Review , Volume 72 , Issue May , Pages 3-21

Journal Article
The Federal safety net for commercial banks: pt. II

FRBSF Economic Letter

Judging the risk of banks: what makes banks opaque?

We argue that the risk of banks is hard for outsiders to judge because the risk of their mostly financial assets is either hard to measure (opaque) or easy to change. We report evidence that bond rating agencies seem to disagree more over banks than over other types of firms. Among banks, bond raters disagree more over opaque assets, like loans, and easily substitutable assets, like cash and trading assets. Fixed assets, like premises, reduce disagreement. Capital also reduces disagreement, but only at trading banks, where the risk of asset shifting may be most severe.
Research Paper , Paper 9805

Conference Paper
The relationship between returns to risky lending and Gap management

Proceedings , Paper 174

Journal Article
Current topics: interest rate and liquidity risk in today’s environment; money market mutual funds (MMFs); residential mortgage update; SR 11-9 (authentication supplement) and account takeover fraud

The Federal Reserve Bank of Chicago's supervision group follows current and emerging risk trends on an on-going basis. This Risk Perspectives newsletter is designed to highlight a few current risk topics and some potential risk topics on the horizon for the Seventh District and its supervised financial institutions. The newsletter is not intended as an exhaustive list of the current or potential risk topics and should not be relied upon as such. We encourage each of our supervised financial institutions to remain informed about current and potential risks to its institution.
Risk Perspectives , Issue 3rd Q

Journal Article
Bank capital standards for foreign exchange and other market risks

The Basle Committee on Banking Supervision has proposed methods for incorporating consideration of market risks--exchange rate, interest rate, and equity price risks--into risk-based capital standards for banks. This paper shows that the separate and seemingly different proposed approaches to the three sources of risk are consistent with one another, reflecting a single unifying theme. That theme is the measurement of risk through a weighting of two different measures of portfolio size, the gross position and the net position. A simple theoretical model demonstrates that such an approach ...
Economic Review

Conference Paper
A market evaluation of the importance of considering non-credit risk in setting risk-based capital standards

Proceedings , Paper 353



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anonymous 46 items

Furlong, Frederick T. 17 items

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