Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank … risk sensitivity, i.e., the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio … expected losses, as reflected in loan loss allowances, we establish a theoretical link to asset volatility. We document a …

1 Introduction -- 2 IFRS 9 and the Expected Credit Loss Model -- 3 Covid-19 and European Banks -- 4 Hypothesis …This book examines the effect of Covid-19 on loan loss provisions (LLPs) and earnings management of European banks … Covid-19 affects banks’ use of discretion when accounting for loan loss provisions. She finds that during Covid-19 banks use …

construction of the distribution of aggregate losses, using internal and external loss data. It is illustrated on a 2x2 matrix of … management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that … number, frequency or severity of operational losses crucially depends on the calibration of the aggregate loss distributions …