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Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?
Rünger, Petra; Walther, Ursula - 2004
Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …
Persistent link: https://www.econbiz.de/10010305656
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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A general approach to integrated risk management with skewed, fat-tailed risks
Rosenberg, Joshua V.; Schuermann, Til - 2004
The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this...
Persistent link: https://www.econbiz.de/10010283460
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Operational risk - scenario analysis
Rippel, Milan; Teplý, Petr - 2008
Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons are the Basel II requirements that were to be complied with by all international active financial institutions by the end of 2006 and recent severe operational risk loss events....
Persistent link: https://www.econbiz.de/10010322209
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Operational risk mangement and implications for bank's economic capital - a case study
Chalupka, Radovan; Teplý, Petr - 2008
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum...
Persistent link: https://www.econbiz.de/10010322249
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10010299998
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Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
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Disentangling the bond-CDS nexus: a stress test model of the CDS market
Vuillemey, Guillaume; Peltonen, Tuomas A. - 2013
This paper presents a stress test model for the CDS market, with a focus on the interplay between banks’ bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of...
Persistent link: https://www.econbiz.de/10011605644
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The impact of risk management in credit rating agencies
Seetharaman, A.; Sahu, Vikas Kumar; Saravanan, A. S.; … - In: Risks 5 (2017) 4, pp. 1-16
An empirical study was conducted to determine the impact of different types of risk on the performance management of credit rating agencies (CRAs). The different types of risks were classified as operational, market, business, financial, and credit. All these five variables were analysed to...
Persistent link: https://www.econbiz.de/10011996547
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Models for risk aggregation and sensitivity analysis: An application to bank economic capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189
implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that …
Persistent link: https://www.econbiz.de/10011843220