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Banking x Business and Management x Econometrics and Mathematical Economics x clear all

Bank Bailouts and Moral Hazard: Evidence from Germany

Lammertjan Dam and Michael Koetter.

in The Review of Financial Studies

August 2012; p ublished online April 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory; Banking; Financial Regulation; Regulation and Industrial Policy. 16089 words.

We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout...

Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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The Geometric-VaR Backtesting Method

Denis Pelletier and Wei Wei.

in Journal of Financial Econometrics

September 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.

This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...