Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to … provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We … market risks they are exposed to. In this paper we conduct an empirical research of market risk disclosure on a sample of …

Prinzipien gelenkt, wie in Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert und auf die …

regulatory equity and the increasing reliance on banks’ internal risk models for the determination of risk weights. The first … trend has been reversed with the regulatory reforms following the financial crisis. Internal risk models will still play a … central role. The rest of the paper focuses on the problems with the use of internal risk models for regulatory purposes. The …

If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for … conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms …

securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS …

minimum requirements for risk management (European Commission DIRECTIVE 2006/48/EC; in Germany, translated into the MaRisk …

In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … charges more sensitive to risk. Exploiting the staggered introduction of the model-based approach in Germany and the richness … of our loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically …

In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … charges more sensitive to risk. Exploiting the staggered introduction of the model-based approach in Germany and the richness … of our loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically …