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. …

'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 …

apparently insufficient degree of risk-sharing observed through the standard channels. …

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis. …

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the … private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk … channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region …

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

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 …