Search Results

Showing results 1 to 10 of approximately 94.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Lopez, Jose A. 

Working Paper
Determinants of access to external finance: evidence from Spanish firms

Access to external finance is a key determinant of a firm's ability to develop, operate and expand. To date, the literature has examined a variety of macroeconomic and microeconomic factors that influence firm financing. In this paper, we examine access by Spanish firms to external financing, both from bank and non-bank sources. We use dynamic panel data estimation techniques to estimate our models over a sample of 60,000 firms during the period from 1992 to 2002. We find that Spanish firms are quite dependent on short-term non-bank financing (such as trade credit), which makes up about 65 ...
Working Paper Series , Paper 2007-22

Working Paper
Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields

Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few ...
Working Paper Series , Paper 2008-34

Working Paper
Empirical analysis of the average asset correlation for real estate investment trusts

The credit risk capital requirements within the current Basel II Accord are based on the asymptotic single risk factor (ASRF) approach. The asset correlation parameter, defined as an obligor's sensitivity to the ASRF, is a key driver within this approach, and its average values for different types of obligors are to be set by regulators. Specifically, for commercial real estate (CRE) lending, the average asset correlations are to be determined using formulas for either income-producing real estate or high-volatility commercial real estate. In this paper, the value of this parameter was ...
Working Paper Series , Paper 2005-22

Working Paper
The empirical relationship between average asset correlation, firm probability of default and asset size

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average asset correlation. In this paper, we examine the empirical relationship between the average asset correlation, firm probability of default and firm asset size measured by the book value of assets by imposing the ASRF approach within the KMV methodology for determining credit ...
Working Paper Series , Paper 2002-05

Journal Article
Stress tests: useful complements to financial risk models

Many supervisory agencies have begun using stress-testing techniques to assess the capital adequacy of individual firms and even national financial systems. In this Economic Letter, I define stress testing, describe its possible applications, highlight certain techniques developed to conduct this testing, and survey its recent use by supervisory agencies.
FRBSF Economic Letter

Journal Article
Volatility spillovers in the U.S. Treasury market

FRBSF Economic Letter

Working Paper
Financial structure and macroeconomic performance over the short and long run

We examine the relationship between indicators of financial development and economic performance for a cross-country panel over long and short periods. Our long-term results are consistent with much of the literature in that we find a positive relationship between financial development and economic growth. However, we fail to find a significant positive relationship after accounting for disparities in factor accumulation. These results therefore indicate that the primary channel for financial development to facilitate growth over the long run is through physical and human capital ...
Pacific Basin Working Paper Series , Paper 2002-05

Journal Article
Patterns in the foreign ownership of U.S. banking assets

FRBSF Economic Letter

Journal Article
Challenges in economic capital modeling

Financial institutions are increasingly using economic capital models to help determine the amount of capital they need to absorb unexpected losses. These models typically aggregate capital based on business-level analysis. However, important challenges surround this aggregation as well as other aspects of these models. Supervisors could use these capital calculations when they assess capital adequacy, but they need to be aware of these modeling issues.
FRBSF Economic Letter

Working Paper
Evaluating credit risk models

Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators; for example, the 1997 Market Risk Amendment (MRA) formally incorporates banks' internal, value-at-risk models into regulatory capital calculations. A key component in the implementation of the MRA was the development of standards, such as for model validation, that must be satisfied in order for banks' models to be used for regulatory capital purposes. ...
Working Papers in Applied Economic Theory , Paper 99-06

FILTER BY year

FILTER BY Content Type

Journal Article 45 items

Working Paper 34 items

Report 9 items

Conference Paper 4 items

Discussion Paper 1 items

Newsletter 1 items

show more (1)

FILTER BY Author

FILTER BY Jel Classification

E43 6 items

G12 5 items

E47 3 items

G13 2 items

G21 2 items

G28 2 items

show more (18)

FILTER BY Keywords

Bank supervision 18 items

Risk 14 items

Risk management 11 items

Bank capital 6 items

Credit 6 items

Bank loans 5 items

show more (89)

PREVIOUS / NEXT