institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based …

equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful … extend coherence to all possible situations of initial wealth. Since a coherent risk measure is the negative of a coherent … lower prevision, all results presented in this paper can easily be reformulated in terms of risk measures. Finally, we …

risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation … model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also …

We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the … traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in …

We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point …

to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …

We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …