Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the … internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the … aretriggered by a general latent factor model involving systematic andidiosyncratic risk. We show explicitly how the tail behavior … of the distributionof these two risk factors relates to the tail behavior of the credit lossdistribution. Even if the …

of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across … systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a … the underlying banks. Third, risk minimization and equalization approaches are adopted to allocate the capital …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …) which measures additional returns to compensate for additional share price risk. …

risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different … incentives for risk creation.When banks differ in credit opportunities, a Pigovian tax on short-term funding is efficient in … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either …