In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … manage their risks.Due to the growth of credit valuation adjustment (CVA) computations, and the similarity of CVA … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the … capital requirement seems overly burdensome and not sufficiently responsive to market dynamics. It also increases model risk … and opaqueness of capital estimates. Chaudhury (2011) recently reported that the extreme tail risk of US stock portfolios …

In the traditional banking model, loans play a dominant role in banks’ operations. Loan portfolio quality is the main … generator of banks’ results. In the periods of best results, as well as in times of worst performance of banks’ operations, the … credit portfolio quality is the share of non-performing loans to the total credit portfolio. The consequences of an increased …

lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the …

homogeneous risk characteristics. The U.S. regulatory agencies believe that a bank may use the internal models, including the loan …-level risk parameter estimates such as PD and LGD, to group exposures into the resultant segments with homogeneous risk … the various segments, and then leads to a greater degree of risk homogeneity in comparison to the baseline equal-bin and …

A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well … known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such … the measured level of portfolio credit risk. By contrast, a model mis-specification generally has a limited impact …

risk of the bank holding the derivative, and the funding valuation adjustment that some authors have proposed to include … balance sheet. In particular, funding costs, default risk and liquidity risk are considered. A valuation framework is … 2012 that funding costs do not have an impact on the value of derivatives to cases including default risk. Furthermore a …

model combinations the value and interest rate risk of 13 non-maturing product categories for up to 400 German banks on an … valuation of non-maturing banking products. For ranking banks according to the interest rate risk of their products the pass …Non-maturing banking products are important asset and liability positions of banks. Their complexity inter alia arises …

uncertainty about the timing, completeness, and fairness of any close out, and thus about the credit risk of the dealers engaging … under the requirements, help users of financial reports evaluate credit risk uncertainty for both sets of dealers …