Macro prudential regulation requires a rigorous process for calculating bank capital charges based on their systemic risk. Using data from the largest global financial institutions we document the existence of extreme event dependence between banks during the recent financial crisis....

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

This paper answers two research questions: what is the appropriate modeling tool for NPL study? and whether the NPL rates in Thailand show improving or deteriorating trend? NPL is of interests to management decision makers because it serves as an indicator for assessing risk in commercial loans....

Regulatory stress tests have become the primary tool for setting capital requirements at the largest U.S. banks. The Federal Reserve uses confidential models to evaluate bank-specific outcomes for bank-specific portfolios in shared stress scenarios. As a matter of policy, the same models are...

Among operational risk practitioners there is some confusion about the implications of the loss data collection threshold and the estimation of "truncated" or "shifted" distributions. Claims that "shifted" models result in biased parameter estimates rely on the premise that the "true" model is...

This paper documents a negative cross-transmission of bank-idiosyncratic credit risk events to the equity value of peers comprising other banks, insurance and real estate firms inter alia. Large jumps in the idiosyncratic component of bank CDS spreads significantly reduce the equity value of...

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

Durch die globale Finanz- und Wirtschaftskrise geraten Europas Banken immer mehr unter Druck. So hat die desolate Verfassung der Staatsfinanzen der südeuropäischen Länder nach Ansicht von Stephan Paul und Christian Farruggio, Ruhr-Universität Bochum, die Krise in den Bankensektor...

Zentrale Maßnahmen zur Überwindung der Bankenkrisen der 90er Jahre in Schweden und Finnland waren in beiden Ländern der Aufkauf von "schlechten Papieren" durch Vermögensverwaltungsgesellschaften ("Bad Banks") und die Verstaatlichung von wichtigen Banken. Aus finnischer und schwedischer Sicht...

Durch die globale Finanz- und Wirtschaftskrise geraten Europas Banken immer mehr unter Druck. So hat die desolate Verfassung der Staatsfinanzen der südeuropäischen Länder nach Ansicht von Stephan Paul und Christian Farruggio, Ruhr-Universität Bochum, die Krise in den Bankensektor...