more cautious and have changed their approach to assess credit risk of sovereigns, and that the impact of sovereign credit … risk ratings on sovereign bond spreads has changed. …

In this paper various Value-at-Risk techniques are applied tot the Dutch stock market index AEX and to the Dow Jones … returns when modelling value-at-risk; (2) For high confidence levels, the fat tails of the distribution can best be modeled by …

Traditional theory suggests that high franchise value limits bank risk-taking incentives. Then why did many banks with … paper attempts to reconcile theory and evidence. We consider a setup where a bank takes risk by levering up, to invest in … risky market-based instruments. High franchise value allows the bank to borrow more, so it can take risk on a larger scale …

and examine the implications for bank risk. We find that banks use LLPs to manage the level and volatility of earnings … to avoid fluctuations in their risk-weighted assets. Our findings highlight an important tradeoff in the provisioning for … expected and unexpected losses that affects bank risk and profitability. …

policy coordination and risk sharing can be improved upon. …