Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR …) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk … optimization, capital requirements, portfolio selection, pricing and hedging issues, risk transference, risk sharing, etc. In …

In the last two decades, both internal and external risk management of banks have undergone significant developments …. Banking supervision encourages banks to use a risk-based approach for computing minimum regulatory capital. Accounting rules … scheme for calculating the profitability of a loan that could be used both for setting risk-based interest rates when …

of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system. This … paper examines the main bank risk determinants in Latin America. The period analysed covers the timespan from 1999 to 2013 …-driven comparable methodology to classify and select commercial banks from the sample. We study bank risk proxied by the Z-score. We use …

and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We …

show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk …

This article focuses on the relationship between Fintech and bank risk-taking behavior. Since Robo-Advisor is one of … medium-sized banks from 2011 to 2016. We found that the development of Fintech has significantly reduced bank risk …-taking level. This result is still valid after the robustness test of replacing the bank's risk-taking index and replacing the …

granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels … amplify the systemic risk while the liquidity spread outcome varies due to different of model variables and the deepness of … the country’s financial market. We propose a practical systemic risk assessment framework and samples of technical …