Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there … (one per calibration setup), or one of many risk-neutral measures (one per numeraire). However, we argue that limits should … be based on the bank's own risk appetite provided that this is consistent with regulatory backtesting and that whichever …

This paper investigates the reputational risk measurement in banking using a simple model that integrates random … effects and Logit models. The pricing theory is outlined to include risk determinant factors as well as negative news for … increase risk in Brazilian banks, particularly by creating rumors that may trigger bank runs or other reputational problems …

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk … uncertainty is more robust to investment decision making than modeling of evolution of asset risk …

movement in one market on other markets. One of the main tools that has been proposed for this purpose is the risk measure … ∆CoVaR of Adrian and Brunnermeier (2011). This study explore the systemic risk profile of Islamic equity Markets based on …The main challenge by the study of systemic risk is the measurement of contagion that enables the impact of external …

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …