We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of …

on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress …

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model …

Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz … used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank … decisions on the one hand and hedging decisions on the other. We also suggest how bank-specific macro derivatives could be …