We examine the quantification of operational risk for banks. We adopt a financial-economics approach and interpret … operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining … operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …

for corporate debt, credit default swaps and collateralized debt obligations by decomposing the risk structure arisingfrom …

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 context, we then extend the coherent expected shortfall to time-conditional expected …

We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …