extended to take account of the systematic risk in financial instruments. This extension is easy to implement in principle: One … interest for risk. The paper clarifies why the risk-related income is not part of the output-or equivalently, why risk bearing … specify and define the economic services produced by financial firms, a step that is absent from the user cost of money theory …

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 …

This paper studies optimal risk-taking and information disclosure by firms that obtain financing from both a … heterogeneity among banks: lowly-collateralized firms vary optimal risk and information precision along with the degree of …

Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons … of 2006 and recent severe operational risk loss events. This paper focuses on operational risk measurement techniques and … Extreme Value Theory are considered. One of the methods used for operational risk management is a scenario analysis. Under …

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 …

[...] 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 …

returns are relatively well explained with standard risk factors, and both the residual correlation and degree of factor … quantify those shared bank exposures that create systemic risk and to portfolio managers seeking to devise optimal …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …