measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger …This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … affects depositors, junior or senior bank creditors, and bank owners. Next it is shown that bank mergers can result in higher …

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 …

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency …, will be by far more risk-sensitive than the required solvency margin provided by the current legislation. In this regard, a … Partial Internal Model for Premium Risk is developed here for a multi-line Non-Life insurer. We follow a classical approach …

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, expectiles are the only elicitable law-invariant coherent risk measures. After …

to the ultimate risk in the case of “fixed-sum” insurance contracts. The random variable ultimately is supposed to follow … Requirement for one year change and the Risk Margin, using the characteristics of the underlying model. We then compare them with … the same figures calculated with existing risk estimation methods. In particular, our study shows that standard methods …

An empirical study was conducted to determine the impact of different types of risk on the performance management of … independent variables were tested statistically using structural equation modelling (SEM). The results indicated that market risk …, financial risk, and credit risk have a significant impact on the performance of CRAs, whereas operational risk and business risk …

to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical … by the financial conditions in the market. Regarding this topic, we implement the Vašíček model to add randomness to risk … mortality rates and risk-free rates), also compared to the local GAAP framework. …

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 …

acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement … risk measures. Naturally, financial analysts and regulators are interested in mitigating sampling errors, as prescribed in … lines of EU Regulation 575/2013. The Monte Carlo error for the operational risk measure is here assessed on the basis of the …