portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

that supervision should include a comprehensive view of different bank risk dimensions. …We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk …

proposes a new methodology to measure retail banks’ business risk, which is defined as the risk of adverse and unexpected … efficiency frontier induced by adverse shocks to banks’ volumes serve as a measure of business risk. This measure of profit … retail banking business model. Our results verify a low level of business risk in retail banking, thus confirming the …

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost … assessing the capital adequacy. This paper investigates whether decisions on total risk-based capital ratios are channeled … quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and … - built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector …/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have …

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis … successive contracts and purchase protection written on them, even avoiding wrong-way risk mitigation. Higher stock return and … protection purchase on the counterparty would diminish the required capital, this type of risk mitigation could follow regulatory …

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After … switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with … different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries …