disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …

Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank …'s activities) and their interrelation, including building a corporate culture of risk management and integrating risk management … regulators. In the context of economic crises and sanctions, the role of effective risk management in banks is significantly …