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 …

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …

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 …