Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56714 
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dc.contributor.authorSabiwalsky, Ralfen
dc.date.accessioned2012-02-03-
dc.date.accessioned2012-04-05T16:20:01Z-
dc.date.available2012-04-05T16:20:01Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/56714-
dc.description.abstractBasel II Pillar 3 reports provide information about banks' exposure towards a number of risk factors, such as corporate credit risk and interest rate risk. Previous studies find that the quality of such information is likely to be weak. We analyze the marginal contribution of pillar 3 exposure data to the quality of equity volatility forecasts for individual banks. Our method uses (local in time) measures of risk factor risk using a multivariate stochastic volatility model for five risk factors, and uses measures of bank sensitivity with respect to these risk factors. We use two sets of sensitivity measures. One takes into account pillar 3 information, and the other one does not. Generally, we generate volatility forecasts as if no market prices of equity were available for the bank the forecast is made for. We do this for banks for which such data is, in fact, available so that we can conduct ex post - tests of the quality of volatility forecasts. We find that (1) pillar 3 information allows for a better-than-random ranking of banks according to their risk, but (2) pillar 3 exposure data does not help reduce volatility forecast error magnitude.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-008en
dc.subject.jelG17en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordrisk reportingen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordrisk factorsen
dc.subject.stwBasel IIen
dc.subject.stwBankrisikoen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwVolatilitäten
dc.subject.stwBankinsolvenzen
dc.titleDoes Basel II pillar 3 risk exposure data help to identify risky banks?-
dc.typeWorking Paperen
dc.identifier.ppn684717832en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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