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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …
Persistent link: https://www.econbiz.de/10011890804
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Lambda value at risk and regulatory capital : a dynamic approach to tail risk
Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks : open access journal 6 (2018) 1, pp. 1-18
This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...
Persistent link: https://www.econbiz.de/10011811561
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Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement
Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...
Persistent link: https://www.econbiz.de/10012019128
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On risk management of mortality and longevity capital requirement : a predictive simulation approach
Yang, Shuai; Zhou, Kenneth Q. - In: Risks : open access journal 11 (2023) 12, pp. 1-18
into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More … specifically, we introduce a thin-plate regression spline method as a surrogate alternative to the standard nested simulation … approach. Using this efficient simulation method, we further investigate hedging strategies that utilize mortality …
Persistent link: https://www.econbiz.de/10014446489
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Operational resilience disclosures by banks: analysis of annual reports
Leo, Martin - In: Risks : open access journal 8 (2020) 4/128, pp. 1-15
An array of developments impacting the financial services industry, such as increasing complexity, interconnectedness, third party dependencies and digitalization, means operational resilience will remain a significant area of concern for policy makers, investors and customers. The purpose of...
Persistent link: https://www.econbiz.de/10012391018
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A multivariate Mmdel to quantify and mitigate cybersecurity risk
Bentley, Mark; Stephenson, Alec; Toscas, Peter; Zhu, Zili - In: Risks : open access journal 8 (2020) 2/61, pp. 1-20
The cost of cybersecurity incidents is large and growing. However, conventional methods for measuring loss and choosing mitigation strategies use simplifying assumptions and are often not supported by cyber attack data. In this paper, we present a multivariate model for different, dependent...
Persistent link: https://www.econbiz.de/10012292946
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Bank risk determinants in Latin America
Martínez-Malvar, Mariña; Baselga-Pascual, Laura - In: Risks : open access journal 8 (2020) 3/94, pp. 1-21
Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding 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...
Persistent link: https://www.econbiz.de/10012293308
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Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures
Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18
This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger affects depositors, junior or senior bank creditors, and...
Persistent link: https://www.econbiz.de/10012126479
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Active management of pperational risk in the regimes of the "unknown" : what can machine learning or heuristics deliver?
Milkau, Udo; Bott, Jürgen - In: Risks : open access journal 6 (2018) 2, pp. 1-16
Advanced machine learning has achieved extraordinary success in recent years. “Active” operational risk beyond ex post analysis of measured-data machine learning could provide help beyond the regime of traditional statistical analysis when it comes to the “known unknown” or even the...
Persistent link: https://www.econbiz.de/10011866399
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The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17
According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...
Persistent link: https://www.econbiz.de/10011866503