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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

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

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

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

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

The generation of synthetic data for risk modelling

Hurst, James; Mayorov, Kirill; Tatsinkou, Joseph … - In: Journal of risk management in financial institutions 15 (2021/2022) 3, pp. 260-269

Persistent link: https://www.econbiz.de/10013391978

The impact of treasury supply on financial sector lending and stability

Krishnamurthy, Arvind; Vissing-Jørgensen, Annette - 2015

We present a theory in which the key driver of short-term debt issued by the financial sector is the portfolio demand for safe and liquid assets by the nonfinancial sector. This demand drives a premium on safe and liquid assets that the financial sector exploits by owning risky and illiquid...

Persistent link: https://www.econbiz.de/10011412482

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

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