Banks' market or "trading" risks have increased noticeably over the past years, largely as a result of the growth of liquid assets on banks' balance sheets and the increase in banks' off-balance sheet activities. Well-publicized bank failures and significant capital losses have focussed further...

Banks' market or 'trading' risks have increased noticeably over the past years, largely as a result of the growth of liquid assets on banks' balance sheets and the increase in banks' off-balance sheet activities. Well-publicized bank failures and significant capital losses have focussed further...

Emerging economies are likely to be more volatile and asset risk more correlated than in industrialized countries. In this paper we discuss how credit scoring techniques and modern credit risk portfolio models can be used to measure credit risk and check Basel II calibration for such an...