Staszkiewicz, Piotr W. (2010): Ryzyko struktury: Rys koncepcyjny. Published in: Research Papers of Wrocław University of Economics No. 183 (2011): pp. 378-384.
Download (1MB) | Preview
The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.
|Item Type:||MPRA Paper|
|Original Title:||Ryzyko struktury: Rys koncepcyjny|
|English Title:||The Risk of the Structure: Initial proposal|
|Keywords:||Risk; Risk model; Basel; Accord; CRD; Capiatl groups; Economic capital; Capital alocation; Capital requirements; Subsidiaries; Strukture; VAR; CVAR; Related parties; Fair value; Parent entity; Measurement; Solvency; Transaction value;|
|Subjects:||M - Business Administration and Business Economics ; Marketing ; Accounting ; Personnel Economics > M4 - Accounting and Auditing > M41 - Accounting
G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies
G - Financial Economics > G3 - Corporate Finance and Governance > G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
P - Economic Systems > P3 - Socialist Institutions and Their Transitions > P34 - Financial Economics
|Depositing User:||Piotr Staszkiewicz|
|Date Deposited:||23. Oct 2011 17:47|
|Last Modified:||10. Mar 2015 00:36|
Bertus M., J. S. Jahera Jr. and Keven Yost A note onforeign bank ownership and monitoring: An international comparison Original Research Article Journal of Banking & Finance, Volume 32, Issue 2, February 2008, Pages 338-345
Dierick, Frank, Pires, Fatima, Scheicher, Martin and Spitzer, Kai Gereon, The New Basel Capital Framework and its Implementation in the European Union (December 2005). ECB Occasional Paper No. 42.
Filipovic, Damir and Kupper, Michael, Optimal Capital and Risk Transfers for Group Diversification. Mathematical Finance, Vol. 18, Issue 1, pp. 55-76, January 2008.
Hal S. Scott, Reducing Systemic Risk Through the Reform of Capital Regulation, J Int Economic Law (2010) 13 (3): 763-778., The Quest for International Law in Financial Regulation and Monetary Affairs