relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

Measuring and managing exchange rate risk exposure is important for reducing a firm''s vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR … approach as the currently predominant method of measuring a firm''s exchange rate risk exposure, and examines the main …

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

This paper builds a framework to quantify the financial stability implications of climate-related transition risk in … retail trade, and transportation sectors appear to be the most important in the transmission of the risk to the banking …

Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides … prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty … for major banks in the European Union using internal models. It also finds that corporate risk weights are sensitive to …

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …

This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …

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 …

leading to systemic vulnerabilities- increases banks' interest rate risk exposure and lowers their net interest margin …