Showing 1 - 8 of 8
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum...
Persistent link: https://www.econbiz.de/10010322249
Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...
Persistent link: https://www.econbiz.de/10010324867
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326056
Ausschusses für Bankenaufsicht u. a. genaue Anforderungen an das Risikomanagement von Banken veröffentlicht (so genannte zweite … Säule von Basel II). In den "Mindestanforderungen an das Risikomanagement" (MaRisk) wurden diese Vorgaben in deutsches Recht …
Persistent link: https://www.econbiz.de/10011892782
In der Vergangenheit wurden Liquiditätsrisiken sowie deren Management durch Wissenschaft und Praxis in stark schwankendem Mass beachtet. In der Regel nimmt ihre Bedeutung und damit auch der Grad der Beachtung in Zeiten wirtschaftlicher Anspannung zu, da sich Liquidität in diesen Situationen...
Persistent link: https://www.econbiz.de/10011428791
This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method, which banks currently apply in line with the Basel regulatory requirements, we propose to include also alternative price mechanisms from the...
Persistent link: https://www.econbiz.de/10010460520
Persistent link: https://www.econbiz.de/10010475189
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010326135