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Martini, Felix; Sautner, Zacharias; Steffen, Sascha; … - 2023

Persistent link: https://www.econbiz.de/10014480287

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

Sustainable profitability in volatile cyclical markets

Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189

Persistent link: https://www.econbiz.de/10012250026

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

Persistent link: https://www.econbiz.de/10011900226

Bank capital, liquid reserves, and insolvency risk

Hugonnier, Julien; Morellec, Erwan - 2015

regulatory requirements. Our analytic characterization of the bank policy choices shows that imposing solely liquidity … requirements leads to lower bank losses in default at the cost of an increased likelihood of default. Combining liquidity … requirements with leverage requirements reduces drastically both the likelihood of default and the magnitude of bank losses in …

Persistent link: https://www.econbiz.de/10011293576

Climate change risk : the next frontier in banking risk management

Sarraf, Hanna - In: Journal of risk management in financial institutions 15 (2021/2022) 1, pp. 85-92

Persistent link: https://www.econbiz.de/10013189151

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...

Persistent link: https://www.econbiz.de/10012219367

Overconfident bank CEOs : risk amplification amid economic uncertainty

Addo, Kwabena Aboah; Pathan, Shams; Ongena, Steven - 2024 - This draft: April 30,2024

Persistent link: https://www.econbiz.de/10014533702

The price of protection : derivatives, default risk, and margining

Gibson, Rajna; Murawski, Carsten - 2008

We investigate the effects of margining, a widely-used mechanism to attach collateral to derivatives contracts, on derivatives' trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to derive a set of testable...

Persistent link: https://www.econbiz.de/10003966202

Market risk calculation for private equity fund-of-funds

Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360

Persistent link: https://www.econbiz.de/10011980279