styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability …

contrast, the latter type of loss absorption mechanism can increase solvency risk and, moreover, is identified as a source of …

sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for …

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system …. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally … and idiosyncratic risk premium. We identify considerable risk spill overs due to the interconnectedness of the financial …

substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable … model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation … developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input …

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We … develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it …' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest …

the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We … find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational … pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge …

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from … structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum … likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which …