@article{29317,
  abstract     = {{In this paper new semiparametric GARCH models with long memory are in- troduced. The estimation of the nonparametric scale function is carried out by an adapted version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised recommendations by the Basel Committee to measure market risk in the banks' trading books (Basel Committee on Banking Supervision, 2013), the semi- parametric GARCH models are applied to obtain rolling one-step ahead forecasts for the Value at Risk (VaR) and Expected Shortfall (ES) for market risk assets. In addition, standard regulatory traffic light tests (Basel Committee on Banking Supervision, 1996) and a newly introduced traffic light test for the ES are carried out for all models. The practical relevance of our proposal is demonstrated by a comparative study. Our results indicate that semiparametric long memory GARCH models are an attractive alternative to their conventional, parametric counterparts.}},
  author       = {{Letmathe, Sebastian and Feng, Yuanhua and Uhde, André}},
  journal      = {{Journal of Risk}},
  keywords     = {{Semiparametric, long memory, GARCH models, forecasting, Value at Risk, Expected Shortfall, traffic light test, Basel Committee on Banking Supervision}},
  title        = {{{Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}}},
  doi          = {{10.21314/JOR.2022.044}},
  year         = {{2022}},
}

@article{4402,
  abstract     = {{This contribution presents and discusses main results of a new survey on the assessment of supervisory quality among German banks in 2010. In particular, it is analyzed if and how supervised banks’ perception of the quality of supervisory authorities and their instruments has changed due to the financial crisis starting in mid-2007. Subsequently, results from the recent survey are compared with findings provided by a former study carried out by the authors in 2006 (Paul, Stein and Uhde, 2008). }},
  author       = {{Paul, Stephan and Stein, Stefan and Uhde, André}},
  journal      = {{Journal of Governance and Regulation}},
  keywords     = {{banking supervision, quality, assessment, banking sector}},
  number       = {{3}},
  pages        = {{96--109}},
  title        = {{{Measuring the quality of banking supervision revisited - Assessments by German banks before and during the financial crisis}}},
  doi          = {{http://dx.doi.org/10.2139/ssrn.1946120 }},
  volume       = {{1}},
  year         = {{2012}},
}

@article{4407,
  abstract     = {{The successful implementation of a harmonised regulatory framework for the global banking system is still a long way off. This mainly results from (a) different traditions in banking regulation and supervision at the national level, (b) different national emphases on regulatory sub-goals such as efficiency or the protection and promotion of national financial markets, and (c) different institutional settings and conditions. In this context, studies on the banking industry's assessment of supervisory processes and instruments highlight how effectively and efficiently individual nation states are implementing international frameworks such as Basel II and the Capital Requirements Directive for Europe. In November 2005, the German Government commissioned an evaluation of the supervisory processes and instruments of the country's banking authorities, BaFin and Bundesbank. The study aimed to determine the options for further optimising supervision, reducing regulatory burden and bureaucracy, and otherwise restricting supervision. This paper presents the most important findings from the survey, analyses significant differences in assessments given by various banking groups, empirically evaluates significant drivers of banks' overall satisfaction with banking supervision, and drafts proposals for improving banking regulation and supervision in Germany. Finally, aspects of further research are discussed. }},
  author       = {{Paul, Stephan and Stein, Stefan and Uhde, André}},
  journal      = {{Journal of Risk Managment in Financial Institutions}},
  keywords     = {{banking supervision, quality, assessment, banking sector}},
  number       = {{1}},
  pages        = {{69--87}},
  title        = {{{Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector}}},
  volume       = {{2}},
  year         = {{2008}},
}