Advanced search

Showing result 1 - 5 of 6 essays matching the above criteria.

1. 1. Market reaction to Basel III : An event study on the stock market reaction to the announcement by the Basel Committee on Banking Supervision on December 7th, 2017

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : David Kinch Palvig; Anton Östlund Wessberg; [2023]
   Keywords : Banks; Basel III; Capital regulation; Efficient Market Hypothesis; Event study; Financial leverage; Stock markets;

   Abstract : This paper investigates the impact of Basel III on the valuation of banks in the EEA through an event study of the stock market. It contributes to academic literature by enhancing the study by Bruno, Onali & Schaeck (2018) with another event date after the conclusion of their study. READ MORE

3. 2. PROFITABILITY MODELLING FOR CREDIT MARKET COMPANY : MODELLING AND EVALUATION OF PROFITABILITY AND CREDIT RISK FOR LARGE CONTRACTS

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Mattias Kvarnerås; Viktor Pettersson; [2020]
   Keywords : Credit Risk; Credit; Modelling; Model; Profitability; Kreditrisk; Modell; Modellering; Lönsamhet;

   Abstract : Risk and profitability are two topics that companies today have to face and deal with. There are different type of risks that either directly or indirectly affect the survival of a company. READ MORE

4. 3. On the risk relation between Economic Value of Equity and Net Interest Income

   University essay from KTH/Matematisk statistik

   Author : André Berglund; Carl Svensson; [2017]
   Keywords : ;

   Abstract : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. READ MORE

5. 4. The Determinants of European Coco Spreads

   University essay from Göteborgs universitet/Graduate School

   Author : Carl-Fredrik Hallden; Blomqvist Blomqvist; [2016-09-21]
   Keywords : Contingent Convertible bonds; Cocos; Coco spreads; Hybrid Securities; Basel III; Additional Tier 1; Tier 2; Banks;

   Abstract : Contingent Convertible (Coco) bonds are hybrid capital securities that absorb losses when the capital of the issuing bank falls below a certain level. Previous research has mainly been focusing on the pricing of such instruments and this paper contributes to the eld by empirically examining the determinants of Coco bond spreads for European banks. READ MORE

6. 5. Name Concentration Risk and Pillar 2 Compliance : The Granularity Adjustment

   University essay from KTH/Matematisk statistik

   Author : Björn Torell; [2013]
   Keywords : Credit Risk; Basel II; IRB formula; Concentration risk; Name concentration; ;

   Abstract : A credit portfolio where each obligor contributes infinitesimally to the risk is said to be infinitely granular. The risk related to the fact that no real credit portfolio is infinitely granular, is called name concentration risk. READ MORE