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...
- 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
- Rights
- License
- Acceso abierto