A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact … - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches … diversified within a phase. Likewise, the risk-management benefits of improving phase-switch forecasts increase with …

Conventional wisdom in banking argues that diversification tends to reduce bank risk and improve performance, but the … recent financial crisis suggests that aggressive diversification strategies may have resulted in increased risk taking and … diversification strategies and the risk-return tradeoff in banking. Our data set covers Russian banks during the 1999-2006 period and …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

score (Proxy for Risk). Based on data from 2005- 2017 on Indian Public and Private sector banks. It has been found that even …

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we … show that exposures computed under the risk neutral measure are essentially arbitrary. They depend on the choice of …

The recent financial crisis has highlighted the need for an integrated risk management system addressing all the … the boundaries drawn by risk management models. With various countries working towards more regulations this article lists … key areas of concern namely systematic risk, capital management, Basel II, excessive leverage, migration from OTC to …

risk measurement and thus risk management, without reducing the competition. Basel III re-emphasizes a leverage ratio sort … of rule. We focus on banks investing in buyouts; the main risk from these investments comes from the increased leverage …

-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …