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 …

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and … value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern … asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our …

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with … the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is … commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from …

risk sharing. …

describing the risks associated with aging, the paper uses value at risk techniques to measure the value of the unanticipated …

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional … macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way … of credit-risk indicators that serve as a barometer of sovereign risk. Applications to 12 emerging market economies show …

) predicts a negative relationship between banks' risk of failure and concentration, indicating a trade-off between competition … significantly related to concentration. Thus, the risk predictions of the CVH model are rejected, those of the BDN model are not …

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 …