value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR …

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges … for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the … measured by the book value of assets by imposing the ASRF approach within the KMV methodology for determining credit risk …

Presentation to Securities Analysts of San Francisco and Global Association of Risk Professionals, San Francisco, CA …

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges … for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the … measured by the book value of assets by imposing the ASRF approach within the KMV methodology for determining credit risk …

value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR …

from their stock (and bond) prices would take less risk than non-publicly traded banks because counterparties, borrowers …, and regulators could react to adverse public market signals against publicly traded banks. In comparing the credit risk …, earnings risk, capitalization, and failure risk between publicly traded and non-publicly traded banks, the evidence in this …