Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions

This paper proposes risk measures for bank solvency by accurately measuring the solvency risk components. These measures consider the minimum regulatory solvency levels and banks’ risk appetite level and risk profile. For this purpose, we used semi-nonparametric statistics to model stylized facts of...

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Autores:
Rendón, Juan F.
Cortés, Lina M.
Perote, Javier
Tipo de recurso:
Fecha de publicación:
2021
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/30275
Acceso en línea:
http://hdl.handle.net/10784/30275
Palabra clave:
Solvency risk
Quantile Risk Metrics
Semi-nonparametric approach
Gram-Charlier expansions
COVID-19
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