Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

policy and setting of the risk tolerance level in order to ensure consistent risk-bearing capacity and greater accountability …

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk … actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios. …

determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …

risks. This paper aims to investigate the effects of different models to estimate the market risk in the management of the … simulating financial portfolios with increasing risk. The series consists of the daily return from 01/01/2002 to 06 … better evaluate the risk in financial markets. The revision of the market risk framework increases the capital requirement …