The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and...

The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and...

Operational risk management has becoming more important in the financial industry in the recent years mainly due to scandals in UBS in 2011 and Societé Générale in 2007. The reasons for this attention can be attributed to introduction of operational risk into the Basel II regulatory framework...

The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 financial crisis. In this paper, we construct an agent-based network model of systemic risk to a banking system, and use it for stress-testing of several different regulatory measures. First, our...

The 2007-2009 global financial turmoil was exacerbated by a low level of financial market regulátory coordination. Historical experience has shown that despite implementing regulations, supervision and macroeconomic policies, the financial industry regularly experiences crises. Consequently, a...