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Credit portfolios : What defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
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Operational Risk : A Practitioner's View
Ebnöther, Silvan; Vanini, Paolo; McNeil, Alexander; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
risk" has led to vigorous and recurring discussions. We show that for a production unit of a bank with well …
Persistent link: https://www.econbiz.de/10005858943
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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100