Macroprudential Regulation: A Risk Management Approach

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector

“…In this paper we compare the current systemic contributions to the current capitalization and O-SII buffers that banks hold. In Dimitrov and van Wijnbergen (2023) we develop the framework further to solve for the optimal macroprudential buffer sizes.…”

“…And second: how consistent are the approaches of translating systemic importance into buffer requirements between European countries? In (Dimitrov and van Wijnbergen, 2023) we explore the calibration of macroprudential capital buffers based on systemic risk using the methodology developed in this paper and address the capitalization discrepancies observed here.…”

“…1 In the current paper we build the foundations for measuring and attributing systemic risk based on co-movements in observed CDS prices. In a companion paper to this one, Dimitrov and van Wijnbergen (2023) develop the methodology further and explore its potential to guide the calibration of the macroprudential capital buffers in the Eurozone.…”

Impact of Credit Risk Management on Bank Performance: An Empirical Study on Commercial Banks Listed at Pakistan Stock Exchange (PSX)

“…The evaluation committee of banks conducts a systematic analysis of the borrower's credibility and creditworthiness with the intention to determine their ability to repay the principal amount and interest within the specified time. According to Dimitrov and van Wijnbergen (2023), lenders use a multifaceted process to evaluate and quantify various aspects of the borrower's financial profile, assigning each component a corresponding score. Initially, the borrowers convey their historical standing and degree of fidelity to the creditor concerning the timely reimbursement of debts.…”