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Cover Art
Author Papapanagiotou, Panagiotis.

Title Measuring Integrated Market and Credit Risks in Bank Portfolios [electronic resource] : An Application to a Set of Hypothetical Banks Operation in South Africa / Panagiotis Papapanagiotou.

Published Washington, D.C. : International Monetary Fund, 2000.


Location Call No. Status
Physical description 1 online resource (50 p.)
Series IMF Working Papers; Working Paper ; No. 00/212
IMF Working Papers; Working Paper ; No. 00/212
Summary The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribution of future bank capital ratios. This forward-looking quantitative risk assessment methodology allows banks and regulators to identify risks before they materialize and make appropriate adjustments to banks' portfolios. This model was applied to the study of the risk profile of the largest South African banks in the context of the Financial System Stability Assessment (FSSA) (1999).
Notes Description based on print version record.
Other author Barnhill, Theodore M.
Papapanagiotou, Panagiotis.
Schumacher, Liliana.
Subject Bank Risk
Credit Ratings
Market Risk
ISBN 145187488X : 15.00 USD
ISSN 1018-5941
Standard Number 10.5089/9781451874884.001