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A test of the inherent predictiveness of the RU, a new metric to express all forms of operational risk in banks

Hughes, Peter; Marzouk, Mahmoud - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10012613975

Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures

Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18

measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … affects depositors, junior or senior bank creditors, and bank owners. Next it is shown that bank mergers can result in higher … interbank loans, a bank merger could lead to additional contagion risks. We conclude that the subadditivity assumption should be …

Persistent link: https://www.econbiz.de/10012126479

Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model

Andrieş, Alin Marius; Galasan, Elena - In: Risks : open access journal 8 (2020) 1/5, pp. 1-20

In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model,...

Persistent link: https://www.econbiz.de/10012204323

Opinion: beyond country risk : a comprehensive approach to address banks' vulnerabilities

De Felice, Gregorio - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 45-47

Persistent link: https://www.econbiz.de/10011670639

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Credit valuation adjustment tail risk and the impact of wrong way trades

Skoglund, Jimmy; Vestal, Doug; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 280-310

Persistent link: https://www.econbiz.de/10010197071

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

On aggregate model risk management : focus on stress testing

Shi, Yan; Young, H. Walter; Cao, Ran - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 171-195

Persistent link: https://www.econbiz.de/10011306352

Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach

Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10010526458

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011867427