Resampling implementation of a stress-scenario approach to estimating portfolio default loss distributions is proposed as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk. Estimates are presented for stress scenarios of varying severity and implications of different time horizons are analyzed. Results for a numeraire portfolio a...

The Basel II Capital Accord requires banks to determine the capital charge to account for operational losses. Compound Poisson process with Lognormal losses is suggested for this purpose. The paper examines the impact of possibly censored and/or truncated data on the estimation of loss distributions. A procedure on consistent estimation of the severity and frequency distributions based on incom...

This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach and the Extreme Value Theory, including scenario analysis method, are considered. Custom plausible lo...

abstract considering the importance of conducting studies on youth, young girls in particular, and also the importance of paying attention to social capital and its role in development process of a society and decreasing social problems and loss; the present study is an attempt to investigate the structure of social capital and its constructing components (solidarity, social participation, ethi...

This study analyses the relationship of intellectual capital with financial performance measures of Indian textile sector for a period of 10 years ranging from 2002 to 2012. For the study, corporate annual reports, especially the profit and loss accounts and balance sheets of the selected companies for the relevant years have been used from CMIE prowess database. Value Added Intellectual Coeffi...

Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded offi cial Federal Reserve Bank of Cleveland publications. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Ban...

We consider tax competition in a world with tax bases exhibiting different degrees of mobility, modeled as mobile and immobile capital. An agreement among countries not to give preferential treatment to mobile capital results in an equilibrium where mobile capital is nevertheless taxed relatively lightly. In particular, one or two of the smallest countries, measured by their stocks of immobile ...