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Incentives for effective risk management
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001
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/10011318589
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Aggregation of incidence and intensity risk variables to achieve reconciliation
Hunt, Clive; Taplin, Ross - In: Risks : open access journal 7 (2019) 4/107, pp. 1-14
product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their … product with the total EAD equals the sum of the individual expected losses. This makes their interpretation problematic …
Persistent link: https://www.econbiz.de/10012127917
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Impact of Risk : An Alternative Credit Risk Measure Based on Expected Credit Losses for Business Steering and Model Backtesting
Reitgruber, Wolfgang - 2015
A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical provisioning view, toward a more adequate capital...
Persistent link: https://www.econbiz.de/10013018343
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Scenario-based risk evaluation
Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Data Scaling for Operational Risk Modelling
Na, H. S.; Miranda, Lourenco; van den Berg, J.; Leipoldt, M. - 2013
In 2004, the Basel Committee on Banking Supervision defined Operational Risk (OR) as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. After publication of the new capital accord containing this dfinition, statistical properties...
Persistent link: https://www.econbiz.de/10014060099
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Modelling risk-weighted assets: looking beyond stress tests
Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2023
Persistent link: https://www.econbiz.de/10014447400
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A review of individual and systemic risk measures in terms of applicability for banking regulations
Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82
regulators include compensating for the drawbacks of the Value at Risk (VaR) and expected shortfall risk models, resolving the …
Persistent link: https://www.econbiz.de/10011452984
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Risk factor evolution for counterparty credit risk under a hidden Markov model
Anagnostou, Ioannis; Kandhai, Drona - In: Risks : open access journal 7 (2019) 2/66, pp. 1-22
One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of …
Persistent link: https://www.econbiz.de/10012018919
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The fundamental review of the trading book : implications for portfolio and risk management in the banking sector
McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of money, credit and banking : JMCB 55 (2023) 7, pp. 1785-1816
Persistent link: https://www.econbiz.de/10014436097