We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance … between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment … of risk and risk exposures on the one hand and performance on the other. Properly designed, a risk measure should provide …

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the … reports to analyse FX settlement risk in the credit institution sector, along with all its consequences for financial … the first chapter we will demonstrate how FX settlement risk is treated among other risks to which banks are exposed …

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and … therefore to rising values of risk parameters such as Value at Risk or Expected Shortfall. The level of economic capital …

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …