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 …

, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even … though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze … systemic risk under stress scenarios. …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset … quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk … risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which …

The availability of financial instruments related to indices that track global financial conditions and risk appetite … during times of systemic crises. Moreover, high risk countries seem to gain more, as their underlying weaknesses makes them …

government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public … model is used to analyze the risk profile and sustainability of Australia's public debt under different policies. …

financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the … LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the … relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike. …

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in … more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory … framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of …