This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

study contributes to the literature by providing expert guidance to credit risk modeling, model validation and supervisory … practitioners in controlling the model risk associated with such modeling efforts. …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

-crisis 10-K filings predicts their systemic equity risk during the financial crisis. Investors predominantly exited stocks of … consistent with the hypothesis that derivatives usage for non-hedging purposes increases both firm and systemic risk. Moreover …

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and … estimate of risk expenses, however, is barely covered. So far there are no established backtesting procedures for EL that … quantify its impact with regards to pricing or risk-adjusted profitability measures. In this paper, a practically oriented, top …

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk … measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical … provisioning view, toward a more adequate capital consumption approach ("Impact of Risk"). On this basis, the difference between …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …

The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our … valuation includes a consideration of liquidity risk in portfolio valuation. Under the new framework, the valuation of a …

capital consumption for each individual client. Compared to Potential Future Exposure (PFE), incremental KVA is more risk … sensitive as i) it is portfolio sensitive and detects cross-selling opportunities, ii) captures wrong-way-risk, iii) accounts … for idiosyncratic features such as granularity and credit risk concentration, iv) measures also other risks besides the …