The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …

The problem of credit risk management at commercial banks is solved using the stochastic dominance criteria … supplementing them with the voting theory elements. The developed stochastic dominance algorithm is based on an investment approach … whose basic concept consists in management of both default risk and imputed loss risk in relation to banks …

rate risk and credit risk. Our methodology is used to determine premia on credit risk and interest rate risk for commercial … banks, which in turn allows us to manage the risk allocation for a bank given a risk budget. Moreover, our approach will be … of interest to regulators, who can use it to assess the market price of credit and interest rate risk at each point in …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit level by comparing bank-generated risk estimates within loan syndicates. The biases are … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit-level by comparing bank generated risk estimates within loan syndicates. The biases are … addition, we find that low-capital banks' risk estimates have less explanatory power than those of high-capital banks with …

We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that … make external financing costly, the optimal contract between shareholders and employees involves some degree of risk … to rationalize exclusively with incentive theories of bonus pay---but support an important risk sharing motive …

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk … increases, risk shifting by borrowers increases, even if their leverage is unchanged (zombie lending). (2) While the literature … increase prevails through a second channel: an increase in risk shifting. (3) Risk shifting decreases with the diversification …

corporations. The main financial institutions consider reputation as one of the six risk factors to be managed by any corporation … standard ways academic literature has dealt with reputational risk: the multifactor model and the cumulative abnormal return …