In the last few years, according to the evolution of financial markets and the enforcement of international supervisory requirements, an increasing interest has been devoted to risk integration. The original focus on individual risk estimation has been replaced by the growing prominence of...

Since the 2007-09 crisis, increasing attention has been devoted to capital adequacy and balance sheet integrity. Banks have been required to improve the quality of their own funds, strengthen their liquidity structure, and enforce their risk management processes. This paper serves the purpose of...

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...