consequences for cost of capital, funding patterns, interconnectedness, and risk migration. …

Though theory suggests financial globalization should improve international risk sharing, empirical support has been … limited. We develop a simple welfare-based measure that captures how far countries are from the ideal of perfect risk sharing …. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk …

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the … stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting … based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk …

policy and setting of the risk tolerance level in order to ensure consistent risk-bearing capacity and greater accountability …

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk … actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios. …

determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …

's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios …

systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to … that both domestic and international risk factors contributed to the decline in international interbank borrowing during …