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25

(I worked there for 23 years.) Simon Johnson is correct. Citi (or its predecessors) was insolvent on those 3 occasions, and would have gone into liquidation without the bailouts by U.S. taxpayers.


3

You can look at the contents of the CFA institute : https://blogs.cfainstitute.org/insideinvesting/2013/01/23/how-much-does-apple-make-a-dupont-analysis/ . As there are more and more candidates and CFA charteholders, we could say that their views are becoming or are already the mainstream views. I would add that accounting and corporate finance is not a "...


3

I am afraid there is no short answer to that question. However there is some literature you can check. In this paper the author gives an overview over different methods and lists a lot of references. One approach is to decompose the volume timeseriies of your checking accounts into two parts: One volatile part: this is money which customers use to cover ...


3

You should consider the stages of the default process instead of a binary "default", where there are various points the borrower is able to cure the loan. In a traditional credit model, the general process is to predict the state of the loan and then predict transitions between stages over the life of the loan. This is done by simulating macro variables (...


2

Short answer - banks make loans, and obviously some of these will go wrong. This risk is handled in two separate ways (that are distinct; but obviously not independent of each other). If you had to sum up the distinction in single-sentence bullet points: Provisions try to pre-book expected/likely losses on the current loan book. Capital Adequacy (CAR) ...


1

The ECB can get you Eurosystem-wide aggregates, but remember that these are just reported by the ECB by the national central banks, who actually regulate the banks. The rules and reporting standards are Europe-wide; but this is nationally operated. And the precise figures for every individual bank are commercially-sensitive data. I'm not sure they are a ...


1

Provision (or reserve) is based on the expected loss, and so the purpose is to absorbe expected losses. The Capital adequacy (or regulatory capital) is based on RWA and leverage ratio, and set the limit on the total size of the business for a bank. Regulatory capital will also cover unexpected losses, as the expected losses have been recognized by loan ...


1

Our paper answers this question in the admittedly simple context of Expected Loss (EL) calculated as the straightforward summation of EAD * PD * LGD from the granular level. EL here is the surrogate for your RWA, and the risk metrics are the granular data (EAD, PD, LGD). The paper proposes how changes in EL can then be attributed / apportioned to changes ...


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