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 …

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 …

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for … internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level …-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

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 …

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 …

build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a … what such a significant increase in credit risk constitutes. A low threshold allows banks to recognize credit risk early … credit risk and avoidance of excessive income volatility. We analyze the resulting optimization problem for different models …

Solvency II Standard Formula provides a methodology to recognise the risk-mitigating impact of excess of loss … reinsurance treaties in premium risk modelling. We analyse the proposals of both Quantitative Impact Study 5 and Commission … premium risk volatility. In this way, capital requirement can be easily assessed. As numerical results show, this proposal …

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 …