We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

According to the often-cited CapCo study (2003) about hedge fund failures, 50% of the failures were driven by Operational Risk. Not only for hedge funds, but also for other asset management companies – such as private equity companies, family offices or independent asset managers - operational...

This paper develops a quantitative analysis of operative risk. We model the volatilities of major financial indices Chemicals Industry for the period 2000-2009. The model uses an Analytical Hierarchy Process (AHP), a multicriterio technique, to identifying the weight of major financial indices:...