Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …

One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of … the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads …

The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables … representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the …

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 …

“desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk …-free investments and subject to the risk measure used, they can provide attractive investment opportunities for investors. We …

As the complexity of banking technology systems increases, the prevention of technological risk becomes an endless … for technological risk management, which does not effectively reduce the frequency of technology-related incidents …. Through an analysis of mainstream risk management models, this study proposes a technology-based risk assessment system based …

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a … such that a risk metric of an investment portfolio is minimized. By adopting a sub-additive convex risk measure, which … takes into account interest rate risk, as a measure for risk, the investment problem is discussed mathematically in a form …