' internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for … lenders to specialise. This leads to systemic concentration of high-risk mortgages in lenders with less sophisticated risk …

Regulations leading up to the financial crisis of 2007-2009 provided incentives for banks shift their risk profiles … toward less regulated areas. We focus on the case of operational risk which went from being a relatively benign and largely … unregulated risk type to a major risk that now accounts for about 25% of large banks' risk profile. We show that capital …

induction when their payoffs could be positive or negative. Moreover, the model can naturally capture wrong or right way risk …

The financial crisis exposed enormous failures of risk management by financial institutions and of the authorities … assess where the balance has been struck between the robustness and the risk sensitivity of the capital framework. This paper … fundamental tradeoffs that may exist between robustness, complexity, and risk sensitivity. We review the history of risk …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will … result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken …: continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, regulate more severely …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

In this paper we study systemic risk for North America and Europe. We show that banks' exposures to common risk factors … are crucial for systemic risk. We come to this conclusion by first showing that relations between North American and … financial crisis than North American ones. Regarding the consequences of systemic risk, we show that dependence between the …

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we … show that exposures computed under the risk neutral measure are essentially arbitrary. They depend on the choice of …

integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and …