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The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience

Rösch, Daniel and Scheule, Harald (2016) The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience. Pacific-Basin Finance Journal 40 B, pp. 289-305.

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Abstract

This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed into (i) a prediction component that is based on observable bank characteristics, and (ii) two frailty ...

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Item type:Article
Date:2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.pacfin.2016.01.002DOI
Keywords:Asia; Bank capital; Bank lending; Commercial banks; Credit portfolio risk; Systemic risk
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:35392
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