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 …

. Furthermore, we find that the first implementation steps lead to the greatest risk-weighted assets reductions, which indicates … that bank risk management improves with a progressing rollout. …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of … macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk … factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default …

Geopolitical risk cannot be measured in a universal way. We develop new geopolitical risk indicators relying on local … newspaper coverage to account for different perceptions. Using Russia as a case study, we demonstrate that geopolitical risk … shocks identified from local news sources have significant adverse effects on the Russian economy, whereas geopolitical risk …

We investigate how managers smooth volatility in balance sheets, using the pension accounting change IAS 19R as a shock … to balance sheet volatility. This shock increases pension plans' funding transparency, which is the source of volatility …