and numerical methods, we obtain answers concerning capital allocation, network stability, risk figures, and diversification …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 …

In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful … extend coherence to all possible situations of initial wealth. Since a coherent risk measure is the negative of a coherent … lower prevision, all results presented in this paper can easily be reformulated in terms of risk measures. Finally, we …

risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation … model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also …

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. …

diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative …

There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June …